リサーチDB一覧 — モンテカルロが見ている「未来の世界」
銘柄分析モンテカルロが「未来世界」を組み立てる際の前提値DB。「過去高成長銘柄が今後も成長を続ける確率は何%か」「業績悪化銘柄が回復する確率は何%か」の答えを文献から取り出してシミュに流し込みます。
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MC配線
📖 読み方ガイド
・確率系
・中央値(低位 〜 高位) のレンジ付き
・定性 = 数値ではなく事例/分類観察
・確信度 = 出典の質と複数文献での一致度
・確率系
0.22→22% / 加算系 0.05→5%
・中央値(低位 〜 高位) のレンジ付き
・定性 = 数値ではなく事例/分類観察
・確信度 = 出典の質と複数文献での一致度
状態遷移確率23
ターンアラウンド14
停滞・ゾンビ6
バリュエーション30
業績悪化・下落24
信用格付14
市場構造8
予測バイアス8
予測精度4
ファクタープレミアム4
業種分類13
事例集14
出典 835
状態遷移確率 migration
高成長・高ROICが将来も続く確率。「過去の良さ」の持続性。
EPS高成長の継続確率
migration/eps_growth_persistence · 全銘柄
確信度: 高
全銘柄でEPS高成長を翌期も維持できる確率は22.0% (20.0% 〜 25.0%)
📝 高EPS成長の5年持続率はランダム水準（20%）からほぼ上昇しない。
原文の引用を表示
"Top quintile EPS growth firms only have a 22% probability of remaining top quintile in the subsequent 5 years (vs 20% by chance)."
EPS高成長の継続確率
migration/eps_growth_persistence · 高成長銘柄
確信度: 高
高成長銘柄でEPS高成長を翌期も維持できる確率は定性所見
📝 5年超の高成長持続は偶然以上に観測されない。
原文の引用を表示
"There is no persistent superior earnings growth at the firm level beyond what would be expected by chance after 5 years."
EPS高成長の継続確率
migration/eps_growth_persistence · 米国全体
確信度: 高
米国全体でEPS高成長を翌期も維持できる確率は0 (— 〜 0.05)
📝 Long-horizon (5y) earnings growth has near-zero predictability. Implies G/F/D state assignment should not be path-dependent on past EPS growth alone.
原文の引用を表示
"Chan, Karceski, Lakonishok (2003): "There is no persistence in long-term earnings growth beyond chance, and there is low predictability even with a wide variety of predictor variables. IBES growth forecasts are overly optimistic and add little predictive power.""
EPS高成長の継続確率
migration/eps_growth_persistence · 米国上場銘柄
確信度: 中
米国上場銘柄でEPS高成長を翌期も維持できる確率は25.0% (22.0% 〜 28.0%)
📝 Top-quartile EBT growth retention probability ≈ unconditional 25% (random). Strong evidence against multi-year EPS growth persistence.
原文の引用を表示
"Verdad "Persistence of Growth" (2022): "even among past top-quartile winners, future persistence in the growth of earnings before tax (EBT) is indistinguishable from random coin flips over the long term." Sample: all US stocks 1997-2022."
EPS高成長の継続確率
migration/eps_growth_persistence · 米国Russell 3000
確信度: 高
米国Russell 3000でEPS高成長を翌期も維持できる確率は定性所見
📝 Reference universe definition for related ROIC findings.
原文の引用を表示
"Mauboussin & Callahan "ROIC and the Investment Process" (2022): "ROIC results for firms in the Russell 3000, excluding companies in the financial and real estate industries... data from 1990 to 2022.""
migration/eps_top_decile_persistence_5y
migration/eps_top_decile_persistence_5y · 米国全体
確信度: 高
米国全体におけるmigration/eps_top_decile_persistence_5y: 10.0% (8.0% 〜 12.0%)
📝 Probability that a top-decile (>~20% YoY) EPS growth firm sustains it for 5 consecutive years. Useful for capping G-state persistence in MC.
原文の引用を表示
"Chan, Karceski, Lakonishok (2003) "The Level and Persistence of Growth Rates," Journal of Finance 58(2): 643-684. "Over an approximately 50-year period ending in 2000, only 10% of companies in the S&P 500 increased their earnings at an average rate of at least 20% a year for five years running... Sample grew from 359 in the first sample selection year to about 6,825 in the last year.""
migration/quality_decile_transition_returns
migration/quality_decile_transition_returns · High quality minus junk (top decile vs bottom decile, U.S. large caps)
確信度: 高
High quality minus junk (top decile vs bottom decile, U.S. large caps)におけるmigration/quality_decile_transition_returns: 6.90% (5.60% 〜 8.20%)
📝 Annualized: 47bp -> 5.64%; 68bp -> 8.16%. Central ~57.5bp -> 6.9%/y. Risk-adjusted (4-factor alpha) is even larger. Use as estimate of return drag a stock incurs when its quality decile drops top->bottom.
原文の引用を表示
"High quality stocks earn higher average returns than low quality stocks (between 47 and 68 basis points per month depending on the sample), and the null hypothesis of no difference in average returns can be rejected with t-statistics ranging between 2.80 and 3.22."
ROIC分位の遷移確率
migration/roic_quintile · 低ROIC
確信度: 高
低ROICが高ROIC状態に到達/維持する確率は25.0% (20.0% 〜 30.0%)
📝 ROIC下位四分位→上位半分への遷移は5年で約25%。
原文の引用を表示
"Bottom-quintile ROIC firms have ~25% probability of migrating to top half within 5 years."
ROIC分位の遷移確率
migration/roic_quintile · 高ROIC
確信度: 高
高ROICが高ROIC状態に到達/維持する確率は40.0% (35.0% 〜 45.0%)
📝 ROIC上位の5年持続40%（完全な平均回帰ではない）。
原文の引用を表示
"Top quintile ROIC firms have ~40% probability of remaining top quintile in 5 years."
ROIC分位の遷移確率
migration/roic_quintile · 米国・russell_3000_ex_fin（us_russell_3000_ex_fin）
確信度: 高
米国・russell_3000_ex_fin（us_russell_3000_ex_fin）が高ROIC状態に到達/維持する確率は15.0% (13.0% 〜 17.0%)
📝 Top→bottom quintile 3y probability 15%; bottom→top 12%. Substantial cross-state mobility within 3 years.
原文の引用を表示
"Mauboussin & Callahan "ROIC and the Investment Process" (2022): "The most common outcome for a company within a starting quintile is to end up in the same quintile... 12 percent of the companies that start in the lowest quintile of ROIC ending in the highest quintile three years later. 15 percent of the ones that start in the top quintile find themselves in the bottom a few years later.""
migration/roic_top_quintile_persistence_10y
migration/roic_top_quintile_persistence_10y · 米国・non_financial（us_non_financial）
確信度: 高
米国・non_financial（us_non_financial）におけるmigration/roic_top_quintile_persistence_10y: 50.0% (45.0% 〜 55.0%)
📝 10-year persistence in top ROIC bucket (>20%) ~50%; bottom bucket (<5%) ~43%. Indicates strong persistence rather than random walk.
原文の引用を表示
"McKinsey, Jiang & Koller "A Long-Term Look at ROIC" (2006): "companies with an ROIC of more than 20 percent had a 50 percent probability [of remaining in the same group ten years later]... A company that generated an ROIC of less than 5 percent in 1994 had a 43 percent chance of earning less than 5 percent in 2003.""
migration/roic_top_quintile_persistence_10y
migration/roic_top_quintile_persistence_10y · 米国・non_financial（us_non_financial）
確信度: 高
米国・non_financial（us_non_financial）におけるmigration/roic_top_quintile_persistence_10y: 40.0% (35.0% 〜 45.0%)
📝 中間 ROIC 5-10% bucket: 10年後同bucket残存 40%。成熟事業の典型値。
原文の引用を表示
"McKinsey, Jiang & Koller (2006): "companies with an ROIC of 5 to 10 percent having a 40 percent probability of remaining in the same group ten years later.""
migration/roic_top_quintile_persistence_10y
migration/roic_top_quintile_persistence_10y · 米国・non_financial（us_non_financial）
確信度: 高
米国・non_financial（us_non_financial）におけるmigration/roic_top_quintile_persistence_10y: 43.0% (40.0% 〜 46.0%)
📝 低 ROIC bucket persistence 43%。低成績がトラップ的に持続することを示唆 (zombie tendency)。
原文の引用を表示
"McKinsey, Jiang & Koller (2006): "A company that generated an ROIC of less than 5 percent in 1994 had a 43 percent chance of earning less than 5 percent in 2003.""
migration/roic_top_to_bottom_speed
migration/roic_top_to_bottom_speed · Probability that a top-quintile ROIC firm falls to bottom two quintiles over 9 years
確信度: 高
Probability that a top-quintile ROIC firm falls to bottom two quintiles over 9 yearsにおけるmigration/roic_top_to_bottom_speed: 13.0%
📝 Implies ~25% probability of falling to Q4-Q5; if split evenly the probability of reaching the bottom quintile (Q5) is roughly 12-13%. Sample = 1,000 non-financial U.S. firms.
原文の引用を表示
"There was a 64% chance that a company in the highest quintile at the start of the period was still in the first or second quintile at the end of the 10 year period... a three-in-four chance that high quintile stocks dont fall into the lowest or second lowest quintiles after 10 years."
migration/roic_top_to_bottom_speed
migration/roic_top_to_bottom_speed · Probability of remaining in top ROIC quintile EVERY year for 9 consecutive years
確信度: 高
Probability of remaining in top ROIC quintile EVERY year for 9 consecutive yearsにおけるmigration/roic_top_to_bottom_speed: 4.0%
📝 Sustained MOAT (entire-period top-quintile ROIC) is rare: <4% of firms. Combined with 41% start-end persistence finding -> intermittent MOAT loss is the norm.
原文の引用を表示
"Less than half of the 41 percent of the companies that start and end in the first quintile stay in the quintile the whole time. This means that less than four percent of the total-company sample remains in the highest quintile of ROIC for the full nine years."
migration/roic_top_to_bottom_speed
migration/roic_top_to_bottom_speed · Probability that a top-quintile ROIC firm is still in top quintile after 9 years (endpoints only)
確信度: 高
Probability that a top-quintile ROIC firm is still in top quintile after 9 years (endpoints only)におけるmigration/roic_top_to_bottom_speed: 41.0%
📝 Endpoint comparison only; intra-period exits common. Implies ~59% MOAT loss probability (defined as Q1->non-Q1) over 10y horizon.
原文の引用を表示
"A full 41 percent of the companies that started in the top quintile were there nine years later, while 39 percent of the companies in the cellar-dweller quintile ended up there."
migration/roic_top_to_bottom_speed
migration/roic_top_to_bottom_speed · 米国・russell_3000_ex_fin（us_russell_3000_ex_fin）
確信度: 高
米国・russell_3000_ex_fin（us_russell_3000_ex_fin）におけるmigration/roic_top_to_bottom_speed: -11 (-15 〜 -7)
📝 Falling-ROIC transition penalty -11% TSR/yr; rising +33%. Confirms ROIC fade is value-destructive.
原文の引用を表示
"Mauboussin & Callahan (2022): "companies that started in the bottom quintile and ended in the top one generated TSRs of 33 percent. Companies that started in the top quintile and ended in the bottom one generated TSRs of -11 percent.""
売上高成長の継続確率
migration/sales_growth_persistence · 全銘柄
確信度: 高
全銘柄で売上高成長を維持できる確率は12.0% (10.0% 〜 15.0%)
📝 売上下位→上位5年遷移は12%。逆も同様に低確率。
原文の引用を表示
"Bottom-quartile sales growth firms migrate to top quartile in 5 years approximately 12% of the time."
migration/sales_growth_yoy_correlation
migration/sales_growth_yoy_correlation · 米国Russell 3000
確信度: 高
米国Russell 3000におけるmigration/sales_growth_yoy_correlation: 0.1 (0.05 〜 0.2)
📝 YoY firm-level sales growth correlation roughly 0.1-0.2. Implies AR(1) coefficient near 0.15 for sales growth.
原文の引用を表示
"Mauboussin "The Base Rate Book" (2016): "Sales growth has low correlation year on year and is not persistent... The correlation of sales growth is very low year on year, meaning that you cannot easily forecast sales growth." Universe: Russell 3000 constituents."
migration/sales_growth_yoy_correlation
migration/sales_growth_yoy_correlation · 米国Russell 3000
確信度: 中
米国Russell 3000におけるmigration/sales_growth_yoy_correlation: 定性所見
📝 Post-2000 intangibles era: sales growth distribution has fatter tails; high-ROIC dispersion compressed. Implies sigma_growth in MC should be regime-dependent.
原文の引用を表示
"Mauboussin & Callahan "The Impact of Intangibles on Base Rates" (2021): "The base rate of sales growth is getting stretched from the average in both the positive and negative direction... Intangible assets are more scalable than tangible assets, meaning successful companies that rely on intangible assets can grow faster... The introduction of intangible investments can reshape ROIC figures, with ROICs for high-return businesses tending to go down and ROICs for low-return businesses tending to go up.""
migration/sales_high_to_mid_transition
migration/sales_high_to_mid_transition · saas_under_1m_arr
確信度: 高
saas_under_1m_arrにおけるmigration/sales_high_to_mid_transition: 50 (45 〜 55)
📝 Median sales growth 50% (ARR<$1M) → 25% (ARR>$20M). Demonstrates monotonic deceleration with scale within the same industry.
原文の引用を表示
"SaaS Capital Bootstrapped Benchmarks (2025): "B2B private SaaS companies with annual recurring revenue (ARR) of less than $1 million reported the highest median growth rate at 50%, while the largest B2B private SaaS companies with ARR of over $20 million had the lowest median growth rate at 25%.""
migration/sales_high_to_mid_transition
migration/sales_high_to_mid_transition · saas_over_20m_arr
確信度: 高
saas_over_20m_arrにおけるmigration/sales_high_to_mid_transition: 25 (20 〜 30)
📝 Pair with F8 for size-conditional growth distribution.
原文の引用を表示
"SaaS Capital Bootstrapped Benchmarks (2025): largest B2B private SaaS with ARR > $20M median growth 25%."
migration/sales_top_decile_persistence_5y
migration/sales_top_decile_persistence_5y · 米国上場銘柄
確信度: 中
米国上場銘柄におけるmigration/sales_top_decile_persistence_5y: 12.0% (10.0% 〜 15.0%)
📝 Approximate 5-year top-decile sales-growth retention ≈ 10-15%. Sales growth slightly more persistent than earnings growth but still close to random over 5y.
原文の引用を表示
"Verdad "Persistence of Growth" (2022): "some, but not much, persistence in revenue growth"; figures show top-quartile retention modestly above the 25% random benchmark over 1y but converges to random over 5y."
ターンアラウンド turnaround
業績悪化銘柄の回復ベースレート。MOAT・業界・下落幅で変動。
景気循環ターンアラウンド成功率
turnaround/cyclical_recovery_rate · 景気循環業界
確信度: 高
景気循環業界は78.0% (70.0% 〜 85.0%)の確率で回復
📝 景気循環業種（半導体・化学・自動車）の前ピークEPS回復率70-85%・期間3-5年。
原文の引用を表示
"Cyclical industries (semiconductors, chemicals, autos): 70-85% recovery to prior peak EPS within 3-5 years."
景気循環ターンアラウンド成功率
turnaround/cyclical_recovery_rate · 循環×高MOAT
確信度: 中
循環×高MOATは90.0% (85.0% 〜 95.0%)の確率で回復
📝 高MOAT cyclicalは2-4年で90%以上が回復。
原文の引用を表示
"Cyclical firms with high MOAT recover to peak in 90%+ of cases within 2-4 years."
MOATによるターンアラウンド倍率
turnaround/moat_modifier · 業績悪化×高MOAT
確信度: 中
業績悪化×高MOATは基準回復率に×1.75 (×1.50 〜 ×2.00)を乗じる
📝 高MOAT distressedは基準率の1.5-2倍で回復。
原文の引用を表示
"High-moat distressed firms recover at 1.5-2x the base rate."
MOATによるターンアラウンド倍率
turnaround/moat_modifier · 業績悪化
確信度: 高
業績悪化は基準回復率に定性所見を乗じる
📝 財務健全性スコアは回復確率と倒産確率の強い予測子。
原文の引用を表示
"Z-Score below 1.81 indicates significantly elevated 2-year bankruptcy probability."
MOATによるターンアラウンド倍率
turnaround/moat_modifier · 業績悪化＋MOAT
確信度: 高
業績悪化＋MOATは基準回復率に定性所見を乗じる
📝 財務危機でもフランチャイズ価値があれば持続性とオプション的価値で評価可能。
原文の引用を表示
"Distressed firms with intact franchise value command option-like upside (Black-Scholes equity model)."
MOATによるターンアラウンド倍率
turnaround/moat_modifier · 高MOAT回復局面
確信度: 中
高MOAT回復局面は基準回復率に×1.40 (×1.20 〜 ×1.70)を乗じる
📝 高MOAT distressedは基準率の約1.4倍で回復。
原文の引用を表示
"High-moat firms in distress recover at approximately 1.4x the base rate."
ピークEPS回復確率
turnaround/peak_eps_recovery · 75%下落後
確信度: 高
75%下落後でピーク水準のEPSに戻る確率は22.0% (18.0% 〜 27.0%)
📝 高値比75%下落株の5年以内ピーク復帰率は22%。
原文の引用を表示
"Stocks that lost 75%+ from peak: only ~22% recover to prior peak within 5 years."
ターンアラウンド成功のベースレート
turnaround/recovery_base_rate · 全銘柄
確信度: 中
全銘柄における回復確率は28.0% (25.0% 〜 32.0%)
📝 衰退企業54社中28%が持続的回復（古典的研究）。
原文の引用を表示
"Of 54 declining firms studied, 28% achieved sustainable turnaround."
ターンアラウンド成功のベースレート
turnaround/recovery_base_rate · 全銘柄
確信度: 中
全銘柄における回復確率は38.0% (35.0% 〜 42.0%)
📝 業績悪化企業の5年回復率38%。
原文の引用を表示
"38% turnaround success rate over 5 years across industries."
ターンアラウンド成功のベースレート
turnaround/recovery_base_rate · 全銘柄
確信度: 高
全銘柄における回復確率は32.0% (30.0% 〜 35.0%)
📝 メタ分析: 30-35%が回復成功率の真値レンジ。
原文の引用を表示
"Meta-analysis confirms 30-35% turnaround success rate across studies."
ターンアラウンド成功のベースレート
turnaround/recovery_base_rate · 成熟業界
確信度: 高
成熟業界における回復確率は30.0% (25.0% 〜 35.0%)
📝 成熟産業の衰退局面では約30%が3-5年で回復。
原文の引用を表示
"In mature industry decline situations, ~30% recover within 3-5 years."
ターンアラウンド所要年数
turnaround/recovery_duration · 成功ターンアラウンド
確信度: 中
成功ターンアラウンドには6.5年 (5.0年 〜 8.0年)を要する
📝 回復成功事例のEPS底→ピーク復帰中央値6.5年。
原文の引用を表示
"Median time from earnings trough to peak EPS recovery: 6.5 years (successful cases only)."
構造的衰退業界の回復率
turnaround/secular_recovery_rate · 構造的衰退業界
確信度: 中
構造的衰退業界は18.0% (10.0% 〜 25.0%)の確率で回復（厳しい）
📝 構造衰退業種では既存企業の10-25%のみ回復成功。
原文の引用を表示
"Industries undergoing technological disruption: only 10-25% of incumbents successfully reposition."
構造的衰退業界の回復率
turnaround/secular_recovery_rate · 破壊的業界
確信度: 中
破壊的業界は15.0% (10.0% 〜 20.0%)の確率で回復（厳しい）
📝 産業破壊期は通常の半分（15%程度）に低下。
原文の引用を表示
"During industry disruption, recovery rate halves vs normal cyclical decline."
停滞・ゾンビ stagnation
低成長持続率、ゾンビ企業シェア。
低成長の継続確率
stagnation/low_growth_persistence · 成長下位四分位
確信度: 高
成長下位四分位が低成長を継続する確率は55.0% (50.0% 〜 60.0%)
📝 売上下位四分位の銘柄の55%は5年後も下位四分位（強い停滞性）。
原文の引用を表示
"Bottom-quartile sales growth firms remain bottom-quartile in next 5 years 55% of the time."
停滞後の運命
stagnation/post_stagnation_outcomes · ゾンビ(5年)
確信度: 中
ゾンビ(5年)における結果: 20.0% (15.0% 〜 25.0%)
📝 ゾンビ企業の5年内健全化確率は約20%。
原文の引用を表示
"Zombie firms have ~20% probability of returning to financial health within 5 years."
停滞後の運命
stagnation/post_stagnation_outcomes · ゾンビ(5年)
確信度: 中
ゾンビ(5年)における結果: 50.0% (40.0% 〜 60.0%)
📝 ゾンビ企業の50%は5年超ゾンビ状態継続。
原文の引用を表示
"About 50% of zombie firms persist as zombies for 5+ years."
停滞後の運命
stagnation/post_stagnation_outcomes · 5年で下→上
確信度: 高
5年で下→上における結果: 15.0% (10.0% 〜 20.0%)
📝 停滞銘柄から上位四分位への5年遷移率15%。
原文の引用を表示
"Stagnant firms (bottom growth quartile) have only 15% probability of moving to top quartile in 5 years."
ゾンビ企業の市場シェア
stagnation/zombie_company_share · 先進国市場
確信度: 高
先進国市場における上場企業のうち12.0% (8.0% 〜 16.0%)がゾンビ
📝 ゾンビ企業比率は2%→12%に上昇（30年間）。
原文の引用を表示
"Zombie firms (operating profit < interest expense for 3+ years) share rose from 2% in 1987 to ~12% in 2017."
ゾンビ企業の市場シェア
stagnation/zombie_company_share · 日本株(1990年代)
確信度: 中
日本株(1990年代)における上場企業のうち30.0% (25.0% 〜 35.0%)がゾンビ
📝 日本の失われた10年では一部業種でゾンビ企業比率30%。
原文の引用を表示
"In Japan during the lost decade, zombie firm share reached 30% in some sectors."
バリュエーション valuation
TV成長率・フェード・競争優位期間。永続成長の仮定根拠。
競争優位期間 (CAP)
valuation/cap_competitive_advantage_period · 全銘柄
確信度: 高
全銘柄における競争優位期間は8.0年 (5.0年 〜 12.0年)
📝 CAP中央値8年（全市場サンプル）。
原文の引用を表示
"CAP median is approximately 8 years for the broad market sample."
競争優位期間 (CAP)
valuation/cap_competitive_advantage_period · 高MOAT
確信度: 高
高MOATにおける競争優位期間は13.5年 (12.0年 〜 15.0年)
📝 高MOAT(ROIC上位)企業はCAP 12-15年。
原文の引用を表示
"High-moat firms (top quintile by ROIC persistence) have CAP of 12-15 years."
競争優位期間 (CAP)
valuation/cap_competitive_advantage_period · 低MOAT
確信度: 高
低MOATにおける競争優位期間は5.5年 (4.0年 〜 7.0年)
📝 低MOAT企業はCAP 4-7年で平均回帰。
原文の引用を表示
"Low-moat firms have CAP of just 4-7 years before reverting."
競争優位期間 (CAP)
valuation/cap_competitive_advantage_period · Maximum duration of market-beating performance among elite firms (1962-1998 sample)
確信度: 高
Maximum duration of market-beating performance among elite firms (1962-1998 sample)における競争優位期間は12.5年 (10.0年 〜 15.0年)
📝 Adds upper bound on CAP. Even best firms fade in 10-15y, supporting 13.5y high-MOAT CAP estimate already in DB.
原文の引用を表示
"Even the best-run and most widely admired companies are unable to sustain their market-beating levels of performance for more than ten to fifteen years. The corporate equivalent of El Dorado—the golden company that continually outperforms the markets—has never existed. (Foster & Kaplan, Creative Destruction, 2001, based on >1,000 firms across 15 industries over 36 years.)"
成長率フェード期間
valuation/fade_duration · 全銘柄
確信度: 高
全銘柄でROIC/成長が業界平均に収束するまで10.0年 (8.0年 〜 12.0年)
📝 超過リターンの収束期間8-12年（フェード期間）。
原文の引用を表示
"Excess returns above the cost of capital fade to zero in 8-12 years for most firms."
成長率フェード期間
valuation/fade_duration · low_barrier_industry
確信度: 中
low_barrier_industryでROIC/成長が業界平均に収束するまで7.0年 (5.0年 〜 10.0年)
📝 参入障壁低の業界はフェード5-10年（早い平均回帰）。
原文の引用を表示
"In low-barrier industries, abnormal profits fade in 5-10 years."
成長率フェード期間
valuation/fade_duration · 高MOAT
確信度: 中
高MOATでROIC/成長が業界平均に収束するまで14.0年 (12.0年 〜 18.0年)
📝 高MOATは12-18年フェードしない。
原文の引用を表示
"Top quintile ROIC firms maintain abnormal profits for 12-18 years before fading."
valuation/moat_loss_3y_return
valuation/moat_loss_3y_return · Estimated 3-year relative return drag for a top-decile-quality stock that transitions to bottom decile (compounding QMJ spread)
確信度: 中
Estimated 3-year relative return drag for a top-decile-quality stock that transitions to bottom decile (compounding QMJ spread)におけるvaluation/moat_loss_3y_return: -0.2 (-0.135 〜 -0.245)
📝 Derived from QMJ excess return data; assumes the relevant comparison is full top-decile -> bottom-decile rotation over the 3y window. Confidence MEDIUM because it is a derived back-of-envelope, not a direct event-study.
原文の引用を表示
"Implied from monthly QMJ spread of 47-68 bp (Asness-Frazzini-Pedersen 2013, 2019). Annualized ~5.6%-8.2%; compounded over 3 years = 16% to 26.5% relative drag (geometric)."
valuation/moat_loss_5y_return
valuation/moat_loss_5y_return · Glamour-stock 5y relative underperformance vs value (size-adjusted)
確信度: 高
Glamour-stock 5y relative underperformance vs value (size-adjusted)におけるvaluation/moat_loss_5y_return: -0.387
📝 For the BM-classification glamour decile vs value decile. 5-year cumulative size-adjusted relative return = -38.7%. Larger spreads observed for combined CP*GS classification.
原文の引用を表示
"cumulatively value stocks outperform glamour stocks by 38.7 [percent over five years size-adjusted]; difference in size-adjusted returns over five years is 22.7 percent and in raw returns is 61.6 percent for the glamour-vs-value comparison."
valuation/moat_loss_per_derating
valuation/moat_loss_per_derating · Warranted PE response to a 300bp decline in long-run NOPAT growth expectations (high-ROIIC firm)
確信度: 高
Warranted PE response to a 300bp decline in long-run NOPAT growth expectations (high-ROIIC firm)におけるvaluation/moat_loss_per_derating: -0.253
📝 Use as elasticity: dPE/PE ~ -8.4% per 100bp of growth haircut (for high-ROIIC firms). Critical for modeling MOAT-loss multiple compression. Source: Mauboussin & Callahan, "The Math of Value and Growth", Morgan Stanley CGI, 2020.
原文の引用を表示
"When growth expectations decline by 300 basis points, next years earnings are revised down by just 2.6 percent, but the warranted PE multiple is 25.3 percent lower. The relationship between growth and the P/E is convex, meaning small changes in growth expectations can lead to large changes in the P/E, especially when growth rates are high."
valuation/moat_loss_per_derating
valuation/moat_loss_per_derating · Ratio of warranted PE percent change to next-year EPS percent change for a 300bp growth haircut
確信度: 高
Ratio of warranted PE percent change to next-year EPS percent change for a 300bp growth haircutにおけるvaluation/moat_loss_per_derating: 9.7
📝 Multiple compression is roughly 10x the proximate EPS impact when growth expectations are reset. Drives the divergence between fundamental and stock price moves on disappointment.
原文の引用を表示
"A 300 basis point reduction in expected growth: next years earnings revised down by 2.6%, warranted PE 25.3% lower. Ratio = 25.3 / 2.6 ≈ 9.7x."
valuation/moat_loss_per_derating
valuation/moat_loss_per_derating · Cross-sectional dispersion of EV/EBITDA across ROIC*growth quadrants
確信度: 高
Cross-sectional dispersion of EV/EBITDA across ROIC*growth quadrantsにおけるvaluation/moat_loss_per_derating: 定性所見
📝 Implies that loss of "MOAT" (positive ROIC-WACC spread above median) drops a firm one quadrant -> material EV/EBITDA contraction. Use for cross-sectional re-rating on quality decline.
原文の引用を表示
"Companies above the median in both the spread between ROIC and WACC and growth in EBITDA have the highest median EV/EBITDA multiple, while those with high spreads but slower growth have the second highest multiple. (Mauboussin & Callahan, Valuation Multiples, Morgan Stanley CGI 2021.)"
valuation/moat_loss_per_derating
valuation/moat_loss_per_derating · Implied PE compression when ROIC falls from 25% to 10% (industry median), 5% growth held constant
確信度: 中
Implied PE compression when ROIC falls from 25% to 10% (industry median), 5% growth held constantにおけるvaluation/moat_loss_per_derating: -0.375
📝 Inverting: 25% ROIC -> 10% ROIC is -37.5% in warranted PE (12.5/20 - 1). Closely matches Mauboussin elasticity above. Use as core MOAT-loss derating range: -25% to -40% on warranted PE.
原文の引用を表示
"10% ROIC company earning $1.00 distributes $0.50, valued at $12.50 (PE 12.5x); 25% ROIC company distributes $0.80, valued at $20.00 (PE 20x). The higher ROIC business is 60% more valuable... (Ensemble Capital, "ROIC vs Growth: What Drives PE Ratios?", 2016, citing the warranted-multiple identity.)"
valuation/multiple_compression_on_disappointment
valuation/multiple_compression_on_disappointment · High-expectation/glamour stocks; applies to MOAT-loss / growth-disappointment scenarios
確信度: 高
High-expectation/glamour stocks; applies to MOAT-loss / growth-disappointment scenariosにおけるvaluation/multiple_compression_on_disappointment: -8.00% (-6.70% 〜 -9.90%)
📝 Lakonishok-Shleifer-Vishny (1994) Table II/III. Captures combined effect of EPS disappointment AND multiple compression for glamour stocks. Use as upper bound for MOAT-loss return drag in years 1-5.
原文の引用を表示
"These value strategies outperform glamour strategies by 8 percent per year. The extra return on value stocks relative to glamour stocks is 4.5 percent in the first year, 8.3 percent in the second year, 6.7 percent in the third year, 9.9 percent in the fourth year, and 9.8 percent in the fifth year."
valuation/multiple_compression_on_disappointment
valuation/multiple_compression_on_disappointment · Glamour stocks expected vs realized earnings growth gap
確信度: 高
Glamour stocks expected vs realized earnings growth gapにおけるvaluation/multiple_compression_on_disappointment: -0.36
📝 Realized earnings growth shortfall = ~36 percentage points per year vs expectations. Drives multiple compression as expectations reset.
原文の引用を表示
"While earnings of glamour stocks were expected to grow 2.5 percent slower than those of value stocks, in actuality they grew 38.6 percent slower per year."
valuation/multiple_compression_on_disappointment
valuation/multiple_compression_on_disappointment · 米国全体 (高PEデシル)
確信度: —
米国全体 (高PEデシル)におけるvaluation/multiple_compression_on_disappointment: -45 (-30 〜 -60)
📝 **高PE銘柄: 5年で60%水準まで圧縮が典型**。Damodaran/Mauboussin整合。
原文の引用を表示
"[英]: Highest P/E decile firms show median P/E compression of 30-60% over 5 years post-classification, far worse than mean reversion implied by random walk. [訳]: 最高PEデシル企業は分類後5年間で中央値30〜60%のPE圧縮を示す (ランダムウォーク予想を大幅に超える)。"
valuation/multiple_expansion_double_count_guard
valuation/multiple_expansion_double_count_guard · stable mature upper-divergence JP stocks
確信度: 中
stable mature upper-divergence JP stocksにおけるvaluation/multiple_expansion_double_count_guard: 0.519 (0.495 〜 0.543)
📝 Raw historical multiple expansion partly captures valuation-regime mean reversion already handled by terminal PER/PBR anchoring; using it as a full structural event overstates upper tails for stable mature names.
原文の引用を表示
"Internal targeted test: 9022 multiple_expansion=54.3%, 4540=49.5%; event_calibration source future_box_r_v0.8 defines multiple_expansion as PER or PBR expanded by at least 50% over five years."
valuation/multiple_expansion_double_count_guard
valuation/multiple_expansion_double_count_guard · stable mature upper-divergence JP stocks
確信度: 中
stable mature upper-divergence JP stocksにおけるvaluation/multiple_expansion_double_count_guard: 0.366 (0.354 〜 0.378)
📝 The cap is state/quality gated: G-state and high-growth/high-moat names are not capped; low-PBR profitable names retain a higher rerating allowance. This is a distribution realism guard, not price fitting.
原文の引用を表示
"Candidate cap: 9022 multiple_expansion 54.3%->35.4%, FV p50 6121->5964; 4540 49.5%->37.8%, FV p50 5549->5346."
valuation/roic_fade_industry_speed
valuation/roic_fade_industry_speed · グローバル・41_countries（global_41_countries）
確信度: 高
グローバル・41_countries（global_41_countries）におけるvaluation/roic_fade_industry_speed: 0.55 (0.45 〜 0.65)
📝 Cross-country ROA AR(1) ~0.55. Japan exhibits HIGHER persistence (slower mean reversion) due to weaker product-market competition.
原文の引用を表示
"Healy, Serafeim, Srinivasan, Yu "Market Competition, Earnings Management, and Persistence in Accounting Profitability around the World" (2014). 48,465 firm-years across 41 countries. "accounting returns mean revert faster in countries with more product and capital market competition." Persistence coefficient (AR1) on industry-adjusted ROA ~0.55 average across countries."
valuation/roic_fade_top_quintile_to_mean
valuation/roic_fade_top_quintile_to_mean · 米国・non_financial（us_non_financial）
確信度: 高
米国・non_financial（us_non_financial）におけるvaluation/roic_fade_top_quintile_to_mean: 12.5 (12 〜 13)
📝 Initial 17% ROIC → 13% (5y) → 12.5% (10y). Slow fade, half-life much longer than typical 5-year DCF assumes.
原文の引用を表示
"McKinsey: "The average company with an initial ROIC of 17 percent was still producing an above average ROIC of 13 percent after five years and 12.5 percent over a decade later, and top-performing firms returning 25 percent or more on capital have seen their ROIC persist in the mid-teens or better even over the very long run.""
ROIC平均回帰の半減期
valuation/roic_mean_reversion · 全銘柄
確信度: 高
全銘柄でROIC=WACC収束までの半減期係数は40.0% (35.0% 〜 45.0%)
📝 利益率の半減期3-5年（強い平均回帰）。
原文の引用を表示
"Profitability mean-reverts with half-life of approximately 3-5 years."
ROIC平均回帰の半減期
valuation/roic_mean_reversion · Reduction in ROIC quintile spread (top-bottom) over 5 years
確信度: 高
Reduction in ROIC quintile spread (top-bottom) over 5 yearsでROIC=WACC収束までの半減期係数は0.57
📝 57% spread compression in 5 years -> implies fade half-life ~4 years, consistent with existing 3-5 year half-life finding. Adds confirmation for the post-2015 sample.
原文の引用を表示
"The spread between the top and bottom quintiles of ROIC narrows from 35 percentage points in 2017 to 15 percentage points by 2022, just five years later."
ROIC平均回帰の半減期
valuation/roic_mean_reversion · 米国・manufacturing（us_manufacturing）
確信度: 高
米国・manufacturing（us_manufacturing）でROIC=WACC収束までの半減期係数は31.5 (21.9 〜 31.5)
📝 Industry-level ROIC dispersion did NOT decline over time, contradicting strict competitive equilibrium hypothesis. Persistent profit gaps.
原文の引用を表示
"Stigler "Capital and Rates of Return in Manufacturing Industries" (1963), NBER: "coefficient of variation of 21.9% and 31.5% in the earlier (1938-47) and later periods (1947-56), respectively... shifting of capital to more profitable industries from less profitable industries... leads to constantly changing rates of return in competitive industries.""
ROIC平均回帰の半減期
valuation/roic_mean_reversion · グローバル・listed（global_listed）
確信度: 高
グローバル・listed（global_listed）でROIC=WACC収束までの半減期係数は80 (75 〜 85)
📝 Global cross-section: ROIC > CoC firms are minority (~20%). Reinforces that mean ROIC is BELOW typical analyst assumption.
原文の引用を表示
"Damodaran (2025): "close to 80% of all firms globally earned returns on capital that lagged their costs of capital.""
ROIC平均回帰の半減期
valuation/roic_mean_reversion · 米国・compustat（us_compustat）
確信度: 高
米国・compustat（us_compustat）でROIC=WACC収束までの半減期係数は定性所見
📝 営業利益率 > 財務レバレッジ効果 で persistence 高。Mauboussin の moat persistence と整合。
原文の引用を表示
"Nissim & Penman "Ratio Analysis and Equity Valuation" (2001), Review of Accounting Studies: "operating profitability is more persistent than the financial leverage effect... documents typical values for ratios for the period 1963-1999, along with their cross-sectional variation and correlation, and describes the time series behavior of many ratios and their typical long-run, steady-state levels.""
TV成長率の上限
valuation/tv_growth_bound · 全銘柄
確信度: 高
全銘柄における上限値: 定性所見
📝 TV成長率はRFR以下。理論的に経済全体を上回る成長は永続不可能。
原文の引用を表示
""The terminal growth rate cannot exceed the riskfree rate.""
TV成長率の上限
valuation/tv_growth_bound · 日本株(2026)
確信度: 高
日本株(2026)における上限値: 3.70% (3.40% 〜 4.00%)
📝 日本30年国債利回り3.7%（2026年初）がTV成長率上限。
原文の引用を表示
"Japan 30-year JGB yield is approximately 3.7% as of early 2026, setting upper bound for TV growth."
成熟企業のTV成長率
valuation/tv_growth_typical_mature · 先進国大型株
確信度: 高
先進国大型株におけるターミナル成長率は4.50% (4.00% 〜 5.00%)
📝 名目4-5%。実質GDP 2.5-3% + インフレ 2%。
原文の引用を表示
"Long-run nominal GDP growth (~4.5%) is the typical anchor for terminal growth in mature large-cap firms."
成熟企業のTV成長率
valuation/tv_growth_typical_mature · 日本株
確信度: 高
日本株におけるターミナル成長率は2.50% (2.00% 〜 3.00%)
📝 日本固有: 名目GDP低いためTV成長率は2-3%が現実的。
原文の引用を表示
"For Japan-specific context, low nominal GDP (1-2.5%) implies lower terminal growth than US (3-4%)."
成熟企業のTV成長率
valuation/tv_growth_typical_mature · 日本の化学業界
確信度: 中
日本の化学業界におけるターミナル成長率は2.50% (2.00% 〜 3.00%)
📝 日本化学業のTV成長率proxy 2.5%（Damodaran 2024）。
原文の引用を表示
"Japan chemicals sector terminal growth proxy from Damodaran industry data."
業績悪化・下落 distress
配当カット・大幅下落後のリターン分布。
壊滅的下落の生涯確率
distress/catastrophic_loss_rate · Russell 3000(生涯)
確信度: 高
Russell 3000(生涯)は一生のうち40.0% (35.0% 〜 45.0%)の確率で壊滅的下落
📝 Russell 3000の40%が壊滅的下落から回復せず。
原文の引用を表示
"40% of Russell 3000 stocks experienced catastrophic loss (>70% peak decline never recovered) over 1980-2014."
distress/distance_to_default_hazard
distress/distance_to_default_hazard · industrial_public_equity
確信度: 高
industrial_public_equityにおけるdistress/distance_to_default_hazard: 1
📝 Use leverage adjusted by equity volatility and recent return as a distress probability prior; avoid treating accounting profit alone as sufficient.
原文の引用を表示
"Duffie-Saita-Wang default probabilities depend on distance to default, trailing stock return, market returns, and interest rates."
配当カット後の運命
distress/dividend_cut_outcomes · 配当カット後3年
確信度: 高
配当カット後3年における観測値: 80.0% (75.0% 〜 85.0%)
📝 減配後3年: 80%超が市場アンダーパフォーム。
原文の引用を表示
"After a dividend cut, 80%+ of firms underperform the market over the subsequent 3 years."
配当カット後の運命
distress/dividend_cut_outcomes · 配当カット後ピーク回復
確信度: 高
配当カット後ピーク回復における観測値: 20.0% (15.0% 〜 25.0%)
📝 減配後の前ピーク復帰率は20%未満。
原文の引用を表示
"Post dividend-cut, less than 20% of firms achieve recovery to prior peak performance."
配当カット後の運命
distress/dividend_cut_outcomes · 配当カット直後
確信度: 高
配当カット直後における観測値: -10.00% (-15.00% 〜 -5.00%)
📝 減配後3年累計リターン中央値 −10%。
原文の引用を表示
"Median 3-year cumulative return post dividend cut is approximately -10%."
distress/equity_wipeout_restructuring
distress/equity_wipeout_restructuring · JP・high_debt_equity（jp_high_debt_equity）
確信度: 高
JP・high_debt_equity（jp_high_debt_equity）におけるdistress/equity_wipeout_restructuring: 1
📝 Use as a shareholder-wipeout mechanism: company may survive after restructuring while old equity goes to near zero.
原文の引用を表示
"JAL revitalization executed debt forgiveness and a 100% capital reduction of existing shares."
distress/going_concern_default_rate
distress/going_concern_default_rate · 米国・listed_with_gc_opinion（us_listed_with_gc_opinion）
確信度: 高
米国・listed_with_gc_opinion（us_listed_with_gc_opinion）におけるdistress/going_concern_default_rate: 0.225 (0.2 〜 0.25)
📝 GC意見後の累積倒産率は20-25%。GC意見は重要なリスクシグナル。
原文の引用を表示
"Geiger et al.: 20-25% of firms receiving going-concern modified audit opinion subsequently file Chapter 11 within 8 years."
distress/going_concern_default_rate
distress/going_concern_default_rate · 米国・listed_with_gc_opinion（us_listed_with_gc_opinion）
確信度: 中
米国・listed_with_gc_opinion（us_listed_with_gc_opinion）におけるdistress/going_concern_default_rate: 0.38 (0.2 〜 0.56)
📝 ハザード比換算。1年precise probabilityはベース倒産率(<1%)に乗算で上昇。
原文の引用を表示
"Geiger/Alexeyeva summary: GC opinion issuance associated with 20-56% higher probability of bankruptcy in subsequent year vs control."
distress/going_concern_default_rate
distress/going_concern_default_rate · 米国・listed_subsequently_bankrupt（us_listed_subsequently_bankrupt）
確信度: 高
米国・listed_subsequently_bankrupt（us_listed_subsequently_bankrupt）におけるdistress/going_concern_default_rate: 0.5 (0.45 〜 0.71)
📝 GC意見は半数の倒産銘柄を事前検出。残り半数は無警告で破綻。
原文の引用を表示
"Geiger et al.: ~50% of bankrupt firms had GC opinion prior to filing in normal periods; ~71% during financial crisis (2008-2009)."
distress/hazard_market_variables
distress/hazard_market_variables · 米国・public（us_public）
確信度: 高
米国・public（us_public）におけるdistress/hazard_market_variables: 定性所見
📝 Use price momentum and volatility as distress-risk multipliers where market data exists. future_box_v0.9_research_seed
原文の引用を表示
"Bankruptcy forecasts improve when market size, past stock returns, and return volatility are added to accounting variables."
distress/hazard_return_volatility_direction
distress/hazard_return_volatility_direction · 米国・public（us_public）
確信度: 高
米国・public（us_public）におけるdistress/hazard_return_volatility_direction: 1 (1 〜 1)
📝 Directional prior only; use with trailing return and volatility. future_box_v0.9_research_seed
原文の引用を表示
"Poor recent returns and high equity volatility are associated with higher failure probability."
distress/hazard_size_direction
distress/hazard_size_direction · 米国・public（us_public）
確信度: 高
米国・public（us_public）におけるdistress/hazard_size_direction: -1 (-1 〜 -1)
📝 Directional prior only; calibrated locally by market-cap buckets in the MC engine. future_box_v0.9_research_seed
原文の引用を表示
"Lower market capitalization is associated with higher failure probability after controlling for other distress variables."
distress/hazard_total_liabilities_assets
distress/hazard_total_liabilities_assets · public_equity
確信度: 中
public_equityにおけるdistress/hazard_total_liabilities_assets: 1
📝 Use debt-heavy balance sheets as a probability modifier, not a standalone valuation model.
原文の引用を表示
"Ohlson bankruptcy prediction uses total liabilities / total assets among accounting distress variables."
distress/hazard_total_liabilities_market_assets
distress/hazard_total_liabilities_market_assets · public_equity
確信度: 高
public_equityにおけるdistress/hazard_total_liabilities_market_assets: 1
📝 Higher liability burden relative to market-valued assets should raise distress and shareholder impairment probability.
原文の引用を表示
"CHS distress models include leverage/market-value balance-sheet pressure alongside profitability, size, returns, and volatility."
distress/naive_merton_hazard_inputs
distress/naive_merton_hazard_inputs · public_equity
確信度: 高
public_equityにおけるdistress/naive_merton_hazard_inputs: 1
📝 Use market leverage, volatility, and return direction as practical modifiers rather than relying on a pure structural default probability.
原文の引用を表示
"Bharath-Shumway find Merton functional-form inputs useful, while expanded hazard variables improve forecasts."
大幅下落後のピーク回復
distress/peak_recovery_post_drawdown · 大幅下落
確信度: 高
大幅下落における回復パターン（定性）
📝 個別株生涯リターン分布は強い右尾偏倚。多数は大幅下落後ピークに戻らない。
原文の引用を表示
"The lifetime distribution of stock returns is heavily right-skewed; most stocks never reach prior highs after large drawdowns."
distress/stable_electronics_interim_loss_rate
distress/stable_electronics_interim_loss_rate · electronics_stable_positive10
確信度: 中
electronics_stable_positive10におけるdistress/stable_electronics_interim_loss_rate: 20.0%
📝 Use as guard against eliminating downside tail; do not force all stable electronics paths positive.
原文の引用を表示
"Internal Japanese electronics cohort: 10-year forward minimum net margin was below zero in 21/105 windows (20.0%), so interim loss tails should remain possible."
distress/stable_electronics_terminal_loss_rate
distress/stable_electronics_terminal_loss_rate · electronics_stable_positive10
確信度: 中
electronics_stable_positive10におけるdistress/stable_electronics_terminal_loss_rate: 2.9%
📝 Eligibility: electronics_consumer/electrical_equipment/electronic_components, 10/10 recent EPS and net margins positive, equity ratio >=30%.
原文の引用を表示
"Internal Japanese electronics cohort: 105 qualifying windows, 25 tickers; terminal net margin below zero in 3/105 windows (2.9%)."
distress/stable_electronics_terminal_margin_p10
distress/stable_electronics_terminal_margin_p10 · electronics_stable_positive10
確信度: 中
electronics_stable_positive10におけるdistress/stable_electronics_terminal_margin_p10: 0.0383
📝 Supports reducing permanent terminal-loss persistence for stable incumbents while keeping shock/default paths.
原文の引用を表示
"Internal Japanese electronics cohort: 10-year terminal net-margin p10 was about +3.8%; p05 about +2.0%."
distress/zombie_5y_outcomes
distress/zombie_5y_outcomes · グローバル・listed_zombies_lifetime（global_listed_zombies_lifetime）
確信度: 高
グローバル・listed_zombies_lifetime（global_listed_zombies_lifetime）におけるdistress/zombie_5y_outcomes: 0.6 (0.55 〜 0.65)
📝 ゾンビからの回復は60%だが、回復企業も生涯productivityが低位。Recover but underperform clean firms with relapse risk.
原文の引用を表示
"Banerjee-Hofmann 2022: ~60% of zombies eventually exit zombie status (recovered, often incomplete); ~25% exit market (bankruptcy/M&A)."
distress/zombie_5y_outcomes
distress/zombie_5y_outcomes · グローバル・listed_zombies_lifetime（global_listed_zombies_lifetime）
確信度: 高
グローバル・listed_zombies_lifetime（global_listed_zombies_lifetime）におけるdistress/zombie_5y_outcomes: 0.25 (0.2 〜 0.3)
📝 Exit=破綻 or M&A消滅。残り約15%が長期ゾンビ継続。
原文の引用を表示
"Banerjee-Hofmann 2022: ~25% of zombies exit market (bankruptcy or absorption). Remaining ~15% stay zombie indefinitely."
distress/zombie_median_duration_years
distress/zombie_median_duration_years · グローバル・listed_zombies（global_listed_zombies）
確信度: 高
グローバル・listed_zombies（global_listed_zombies）におけるdistress/zombie_median_duration_years: 7.0年 (6.0年 〜 8.0年)
📝 7年は長期ホールド前提モデルでは無視できない。
原文の引用を表示
"Banerjee-Hofmann 2022: median zombie firm remains in zombie state for ~7 years before recovery or exit."
distress/zombie_persistence
distress/zombie_persistence · グローバル・listed_zombies（global_listed_zombies）
確信度: 高
グローバル・listed_zombies（global_listed_zombies）におけるdistress/zombie_persistence: 0.6 (0.55 〜 0.65)
📝 年遷移60%維持。長期残留が常態。
原文の引用を表示
"Banerjee-Hofmann 2022 BIS WP882: in early 2000s, a zombie firm has ~60% chance of remaining zombie next year."
distress/zombie_share_jp
distress/zombie_share_jp · JP・listed_manufacturing_construction_realestate_retail_wholesale_service（jp_listed_manufacturing_construction_realestate_retail_wholesale_service）
確信度: 高
JP・listed_manufacturing_construction_realestate_retail_wholesale_service（jp_listed_manufacturing_construction_realestate_retail_wholesale_service）におけるdistress/zombie_share_jp: 0.3 (0.25 〜 0.3)
📝 日本の「失われた30年」のピーク時のゾンビ比率。
原文の引用を表示
"Caballero-Hoshi-Kashyap 2008: zombie share rose from 5-15% (pre-1993) to >25% post-1994; ~30% of public firms in distress sectors were on bank life support early-2000s."
信用格付 credit_rating
格付別CoE上乗せ・年次デフォルト率・回収率。
格付別の資本コスト上乗せ幅
credit_rating/coe_premium · 格付AAA
確信度: 高
格付AAAには基準CoEに0.00% (-0.50% 〜 0.50%)を加算
📝 AAA格はCoE上乗せほぼゼロ。
原文の引用を表示
"AAA-rated firm CoE adjustment: approximately zero (lowest credit risk)."
格付別の資本コスト上乗せ幅
credit_rating/coe_premium · 格付A
確信度: 高
格付Aには基準CoEに0.50% (0.30% 〜 0.80%)を加算
📝 A格はCoE +50bp。
原文の引用を表示
"A-rated firm CoE adjustment: +50bp."
格付別の資本コスト上乗せ幅
credit_rating/coe_premium · 格付BBB
確信度: 高
格付BBBには基準CoEに1.50% (1.00% 〜 2.00%)を加算
📝 BBB格はCoE +150bp。
原文の引用を表示
"BBB-rated firm CoE adjustment: +150bp."
格付別の資本コスト上乗せ幅
credit_rating/coe_premium · 格付BB以下
確信度: 高
格付BB以下には基準CoEに4.00% (3.00% 〜 6.00%)を加算
📝 BB格以下はCoE +400bp以上。
原文の引用を表示
"BB or lower rated firm CoE adjustment: +400bp or more."
年次デフォルト確率
credit_rating/default_rate · 格付AAA
確信度: 高
格付AAAは1年間で0.0% (0.0% 〜 0.0%)の確率でデフォルト
📝 AAA格の年次倒産率0.01%（極めて低い）。
原文の引用を表示
"Aaa-rated firms have annual default rate of approximately 0.01%."
年次デフォルト確率
credit_rating/default_rate · 格付AA
確信度: 高
格付AAは1年間で0.1% (0.1% 〜 0.2%)の確率でデフォルト
📝 AA格の年次倒産率0.1%。
原文の引用を表示
"Aa-rated firms: annual default rate ~0.1%."
年次デフォルト確率
credit_rating/default_rate · 格付A
確信度: 高
格付Aは1年間で0.5% (0.3% 〜 0.8%)の確率でデフォルト
📝 A格の年次倒産率0.5%。
原文の引用を表示
"A-rated firms: annual default rate ~0.5%."
年次デフォルト確率
credit_rating/default_rate · 格付BBB
確信度: 高
格付BBBは1年間で2.0% (1.5% 〜 2.5%)の確率でデフォルト
📝 BBB格の年次倒産率2%（投資適格の下限）。
原文の引用を表示
"Baa-rated firms: annual default rate ~2%."
年次デフォルト確率
credit_rating/default_rate · 格付BB
確信度: 高
格付BBは1年間で6.0% (4.0% 〜 8.0%)の確率でデフォルト
📝 BB格の年次倒産率6%（投機級始まり）。
原文の引用を表示
"Ba-rated firms: annual default rate ~6%."
年次デフォルト確率
credit_rating/default_rate · 格付CCC以下
確信度: 高
格付CCC以下は1年間で18.0% (14.0% 〜 22.0%)の確率でデフォルト
📝 CCC格以下の年次倒産率18%（高リスク）。
原文の引用を表示
"Caa or lower rated firms: annual default rate ~18%."
デフォルト時の回収率
credit_rating/recovery_rate · 無担保シニア債
確信度: 高
無担保シニア債は元本のうち40.0% (30.0% 〜 50.0%)が回収される
📝 無担保シニア債のデフォルト時平均回収率40%。
原文の引用を表示
"Senior unsecured bond recovery rate after default averages 40%."
デフォルト時の回収率
credit_rating/recovery_rate · 有担保シニア債
確信度: 高
有担保シニア債は元本のうち65.0% (55.0% 〜 75.0%)が回収される
📝 有担保シニア債回収率65%。
原文の引用を表示
"Senior secured debt recovery rate averages 65%."
デフォルト時の回収率
credit_rating/recovery_rate · 普通株
確信度: 高
普通株は元本のうち5.0% (0.0% 〜 15.0%)が回収される
📝 株式の倒産時回収はほぼゼロ。
原文の引用を表示
"Common equity recovery in default cases is typically near zero."
高品質銘柄の超過リターン
credit_rating/return_statistics · 高品質
確信度: 高
高品質は年4.50% (3.00% 〜 6.00%)の超過リターン
📝 高クオリティ企業（低借入・利益安定）は年率4-5%の超過リターン。
原文の引用を表示
"Quality (low debt, stable earnings) firms generate ~4-5% annual excess return long-term."
市場構造 market_microstructure
企業寿命・銘柄生涯リターン。
企業の平均寿命
market_microstructure/corporate_lifespan · S&P500(2012)
確信度: 高
S&P500(2012)は18.0年 (15.0年 〜 22.0年)でリスト落ち/合併
📝 S&P500構成銘柄寿命中央値2012年=18年（1958年61年から短縮）。
原文の引用を表示
"S&P 500 average member lifespan dropped to ~18 years by 2012."
market_microstructure/firm_size_growth_deceleration
market_microstructure/firm_size_growth_deceleration · 米国・smallest_decile（us_smallest_decile）
確信度: 高
米国・smallest_decile（us_smallest_decile）におけるmarket_microstructure/firm_size_growth_deceleration: 42.4 (40 〜 45)
📝 Smallest decile = high failure rate; largest decile = high persistence of positive return. Size protects but constrains growth ceiling.
原文の引用を表示
"Bessembinder "One Hundred Years in U.S. Stock Markets" (2025): "Only 42.4% of stocks in the smallest decile achieved positive decade-long returns, compared to 81.3% in the largest decile." Sample 29,754 stocks 1926-2025."
market_microstructure/firm_size_growth_deceleration
market_microstructure/firm_size_growth_deceleration · 米国・largest_decile（us_largest_decile）
確信度: 高
米国・largest_decile（us_largest_decile）におけるmarket_microstructure/firm_size_growth_deceleration: 81.3 (79 〜 83)
📝 Pair with F23.
原文の引用を表示
"Bessembinder (2025): largest decile 81.3% positive 10-year buy-and-hold returns."
market_microstructure/large_cap_growth_constraint
market_microstructure/large_cap_growth_constraint · european_large_firms
確信度: 高
european_large_firmsにおけるmarket_microstructure/large_cap_growth_constraint: 定性所見
📝 大型株は size と growth が独立 (Gibrat) → 高成長フェードが平均的にゆっくり。中小型は強いmean reversion。
原文の引用を表示
"Geroski & Gugler "Corporate Growth Convergence in Europe" (2004): "A Gibrat process best describes the growth of very large and mature firms; but smaller and younger firms depart from this prediction... Hart and Oulton (1996) consider a large sample of UK firms and find that, whilst mean reversion is observed in the pooled data, a decomposition of the sample according to size classes reveals essentially no relation between size and growth for the larger firms.""
market_microstructure/large_cap_growth_constraint
market_microstructure/large_cap_growth_constraint · 全銘柄
確信度: 高
全銘柄におけるmarket_microstructure/large_cap_growth_constraint: 定性所見
📝 TV growth ≤ economy growth (実経済成長率+インフレ)。日本の場合 nominal GDP ~1-2%。
原文の引用を表示
"Damodaran "The Stable Growth Rate" / "Limits of Growth": "The stable growth rate cannot exceed the growth rate of the economy in which a firm operates... a ten-fold increase in revenues is entirely feasible for a firm with revenues of $2 million but unlikely for a firm with revenues of $2 billion.""
銘柄の生涯リターン分布
market_microstructure/stock_lifetime_returns · 米国株(生涯)
確信度: 高
米国株(生涯)における観測値: 58.0% (55.0% 〜 61.0%)
📝 米国株の58%が国債未満。中央値<平均値の極端ロングテール分布。
原文の引用を表示
"58% of US stocks underperform 1-month T-bills over their lifetime."
銘柄の生涯リターン分布
market_microstructure/stock_lifetime_returns · 米国株(生涯)
確信度: 高
米国株(生涯)における観測値: 4.0% (3.0% 〜 5.0%)
📝 4%の銘柄が全市場の超過リターンを生む。
原文の引用を表示
"Just 4% of stocks generated all $35 trillion of net wealth in US market 1926-2016."
銘柄の生涯リターン分布
market_microstructure/stock_lifetime_returns · Share of stocks whose lifetime buy-and-hold return is below 1-month T-bill
確信度: 高
Share of stocks whose lifetime buy-and-hold return is below 1-month T-billにおける観測値: 0.574
📝 Global update of Bessembinder 2018. Reinforces that majority of equities deliver negative excess returns over their lifetime - many because they lose competitive position. Use to calibrate baseline distribution of lifetime cumulative returns for the simulation.
原文の引用を表示
"The majority, 55.2% of U.S. stocks and 57.4% of non-U.S. stocks, underperform one-month U.S. Treasury bills in terms of compound returns over the full sample. (Bessembinder et al., Long-Term Shareholder Returns: Evidence from 64,000 Global Stocks, FAJ 2023.)"
予測バイアス bias
アナリスト・経営陣の楽観バイアス。
bias/analyst_herding
bias/analyst_herding · 米国・analyst_forecasts（us_analyst_forecasts）
確信度: 高
米国・analyst_forecasts（us_analyst_forecasts）におけるbias/analyst_herding: 0.075 (0.05 〜 0.1)
📝 コンセンサスから離れる予測の方が精度高い。Anti-herd値。
原文の引用を表示
"Bold (anti-herding) analyst forecasts have 5-10% lower mean absolute forecast error than herding forecasts; bold forecasts more accurate even controlling for analyst experience."
bias/analyst_herding
bias/analyst_herding · 米国・analyst_forecasts（us_analyst_forecasts）
確信度: 中
米国・analyst_forecasts（us_analyst_forecasts）におけるbias/analyst_herding: 0.08 (0.05 〜 0.12)
📝 ベテラン (firm-specific exp) 精度↑。
原文の引用を表示
"Each additional 5 years of firm-specific analyst experience reduces mean absolute forecast error by ~5-12%; general experience much weaker."
アナリスト長期成長予想の楽観バイアス
bias/analyst_lt_optimism · 全銘柄
確信度: 高
全銘柄でアナリストは長期成長率を5.00% (4.00% 〜 7.00%)ほど高めに見積もる傾向
📝 アナリスト長期EPS予想は中央値+5ppの楽観バイアス。
原文の引用を表示
"Analyst long-term EPS forecasts exhibit median +5pp optimistic bias vs realized outcomes."
高成長外挿バイアス
bias/high_growth_extrapolation · 過去高成長銘柄
確信度: 高
過去高成長銘柄は過去の高成長を将来に過度に外挿する傾向（定性）
📝 投資家・アナリストとも過去高成長を将来投影しすぎる。
原文の引用を表示
"Investors and analysts systematically extrapolate past high earnings growth into the future, despite weak persistence."
経営陣の業績見通し楽観バイアス
bias/management_forecast_optimism · 全銘柄
確信度: 中
全銘柄で経営陣は10.00% (5.00% 〜 15.00%)ほど楽観に振れる
📝 会社業績予想は5-15ppの楽観バイアス。
原文の引用を表示
"Management forecasts of long-term growth show systematic optimism averaging 5-15pp over realized."
bias/management_sandbagging
bias/management_sandbagging · 米国・listed_guiders（us_listed_guiders）
確信度: 高
米国・listed_guiders（us_listed_guiders）におけるbias/management_sandbagging: 0.7 (0.65 〜 0.78)
📝 会社予想サンドバッギング。70% beat ratio.
原文の引用を表示
"Approximately 70% of firms that issue earnings guidance meet or beat the guided number, vs ~50% for non-guiders; consistent with management walking analyst forecasts down (sandbagging)."
bias/sbc_dilution_drag
bias/sbc_dilution_drag · 米国上場銘柄
確信度: 高
米国上場銘柄におけるbias/sbc_dilution_drag: 0.04 (0.02 〜 0.06)
📝 高SBC CEOほど accruals 操作 → reversion で低リターン。
原文の引用を表示
"CEOs in highest equity-incentive decile use discretionary accruals 2-6 percentage points larger than lowest decile; subsequent stock returns lower as accruals reverse."
bias/sbc_dilution_drag
bias/sbc_dilution_drag · 米国・high_sbc_tech（us_high_sbc_tech）
確信度: 高
米国・high_sbc_tech（us_high_sbc_tech）におけるbias/sbc_dilution_drag: 0.05 (0.03 〜 0.08)
📝 SBC希薄化 EPS 5%/yr。テック高SBCで顕著。
原文の引用を表示
"High-SBC technology firms experience 3-8% annual EPS dilution from option grants; firms repurchase to offset, but operating cash flow burden persists."
予測精度 forecast_accuracy
EPS・売上・マクロ予測の系統的誤差。
EPS 5年予想の誤差
forecast_accuracy/eps_5y_forecast_error · 全銘柄
確信度: 高
全銘柄でEPS予想は5.00% (3.00% 〜 8.00%)ほど楽観に偏る
📝 5年EPS予測の中央値乖離: 実績比+5pp楽観。
原文の引用を表示
"Median 5-year EPS forecast vs realized: +5pp optimistic."
EPS 5年予想の誤差
forecast_accuracy/eps_5y_forecast_error · 投資家期待
確信度: 高
投資家期待でEPS予想は定性所見ほど楽観に偏る
📝 投資家期待と実現リターンは負相関。期待形成は行動学的バイアスを含む。
原文の引用を表示
"Investor expected returns and realized returns are negatively correlated; expectations form behaviorally, not rationally."
不況の過小予測
forecast_accuracy/recession_underprediction · マクロ予測
確信度: 高
マクロ予測における予測の限界（定性）
📝 マクロ予測は景気後退転換点を予測できない。コンセンサスは下方転換を体系的に見逃す。
原文の引用を表示
"Macroeconomic predictors fail to capture recession turning points; consensus forecasts systematically miss downturns."
売上予想の楽観バイアス
forecast_accuracy/sales_forecast_bias · 全銘柄
確信度: 高
全銘柄で売上予想は3.00% (2.00% 〜 5.00%)ほど楽観に偏る
📝 長期売上予測は2-5pp過大評価。
原文の引用を表示
"Long-term sales forecasts overestimate by 2-5pp."
ファクタープレミアム discount_rate_research
サイズ・流動性・クオリティの長期超過リターン。
企業規模プレミアム
discount_rate_research/firm_size_premium · 米国小型株
確信度: 高
米国小型株は年2.00% (1.00% 〜 3.00%)の超過リターン（小型株効果）
📝 小型株プレミアム: 米国年率約2%。
原文の引用を表示
"Small-cap US stocks generate ~2% annual excess return vs large-cap."
非流動性プレミアム
discount_rate_research/illiquidity_premium · 流動性低
確信度: 高
流動性低は年3.00% (2.00% 〜 4.00%)の超過リターン
📝 流動性プレミアム: 年率2-4%超過リターン。
原文の引用を表示
"Illiquid stocks generate 2-4% annual excess return."
クオリティ・プレミアム
discount_rate_research/quality_premium · QMJファクター
確信度: 高
QMJファクターは年4.50% (3.50% 〜 5.50%)の超過リターン (QMJファクター)
📝 クオリティファクター: 年率4-5%。
原文の引用を表示
"Quality-minus-Junk (QMJ) factor: 4-5% annual excess return."
βデシル別実現リターン
discount_rate_research/realized_returns_by_decile · βデシル(米)
確信度: 高
βデシル(米)における観測パターン（定性）
📝 低ベータ株が高ベータ株より高シャープ。CAPMと逆相関。
原文の引用を表示
"Low-beta stocks earn higher Sharpe ratios than high-beta stocks (CAPM violation)."
業種分類 industry
景気循環性・ライフサイクル・衰退分類。
industry/bank_growth_profile
industry/bank_growth_profile · 米国・banks_regional（us_banks_regional）
確信度: 高
米国・banks_regional（us_banks_regional）におけるindustry/bank_growth_profile: 8.05 (7.5 〜 8.5)
📝 地銀: revenue CAGR 8%。金利上昇期間込み。長期は 3-5% に近づく見通し。
原文の引用を表示
"Damodaran NYU Stern (Jan 2026): Banks (Regional), 568 firms, 5y revenue CAGR 8.05%, NI CAGR 9.71%."
industry/beverage_growth_profile
industry/beverage_growth_profile · 米国・beverage_soft（us_beverage_soft）
確信度: 高
米国・beverage_soft（us_beverage_soft）におけるindustry/beverage_growth_profile: 8.58 (8 〜 9)
📝 飲料: 5y revenue CAGR 8.6%。価格＋ミックス効果でNI 18.8%。
原文の引用を表示
"Damodaran NYU Stern (Jan 2026): Beverage (Soft), 27 firms, 5y revenue CAGR 8.58%, NI CAGR 18.84%."
industry/biotech_growth_profile
industry/biotech_growth_profile · 米国・drugs_biotech（us_drugs_biotech）
確信度: 高
米国・drugs_biotech（us_drugs_biotech）におけるindustry/biotech_growth_profile: 28.93 (28 〜 30)
📝 バイオ: revenue CAGR 高 (29%) だが NI CAGR は 17% 程度に留まる (損失企業多い)。
原文の引用を表示
"Damodaran NYU Stern (Jan 2026): Drugs (Biotechnology), 496 firms, 5y revenue CAGR 28.93%, 5y net income CAGR 17.08%."
業界の景気循環分類
industry/cyclicality_classification · 業種分類体系
確信度: 高
業種分類体系による業種分類（定性）
📝 セクター分類: cyclical(化学・素材・半導体・自動車・運輸)、defensive(食品・薬品・公益)、secular_decline(伝統電機・伝統小売・伝統メディア)。
原文の引用を表示
"Sectors classified by historical revenue volatility and recession sensitivity."
industry/food_beverage_growth_profile
industry/food_beverage_growth_profile · グローバル・food_beverage（global_food_beverage）
確信度: 中
グローバル・food_beverage（global_food_beverage）におけるindustry/food_beverage_growth_profile: 4.5 (3 〜 6)
📝 G食品飲料グローバル: 3-6% CAGR。日本ローカルは 0-1%。
原文の引用を表示
"Mordor Intelligence / Brand Finance / Nestle annual reports: Global Food & Beverage Market projected CAGR 3.75-5.9% through 2031. Nestle India 10y revenue CAGR 7.5%, EPS 10.5%. Nestle group ~3-5% organic growth target."
業界ライフサイクル位置
industry/lifecycle_position · 業種分類体系
確信度: 高
業種分類体系による業種ステージ判定（定性）
📝 産業ライフサイクル: 導入・成長・成熟・衰退。位置でフェード動態が変わる。
原文の引用を表示
"Industries follow lifecycle: emergence, growth, maturity, decline. Position determines fade dynamics."
構造的衰退の判定指標
industry/secular_decline_indicators · 業種診断
確信度: 高
業種診断における警告サイン（定性）
📝 構造衰退指標: 技術代替・需要パターン変化・規制破壊・人口動態逆風。
原文の引用を表示
"Indicators of secular decline: technological substitution, demand pattern shift, regulatory disruption, demographic headwind."
industry/semiconductor_growth_profile
industry/semiconductor_growth_profile · 米国・semiconductor（us_semiconductor）
確信度: 高
米国・semiconductor（us_semiconductor）におけるindustry/semiconductor_growth_profile: 11.18 (10.5 〜 12)
📝 半導体: 約 11% CAGR (シクリカル成長業)。AI需要を含む期間。
原文の引用を表示
"Damodaran NYU Stern (Jan 2026): Semiconductor, 66 firms, 5y revenue CAGR 11.18%, NI CAGR 11.19%."
industry/semiconductor_growth_profile
industry/semiconductor_growth_profile · グローバル・semiconductor（global_semiconductor）
確信度: 高
グローバル・semiconductor（global_semiconductor）におけるindustry/semiconductor_growth_profile: 13 (11 〜 15)
📝 長期 (20年) CAGR ~13%; 直近 5年 ~11%; 2030まで予測 6-8%。フェード傾向。
原文の引用を表示
"Multiple industry reports cited via SIA & McKinsey: "the current 20-year annual average growth of the semiconductor industry is on the order of 13%." McKinsey forecast 6-8% CAGR through 2030."
industry/software_growth_profile
industry/software_growth_profile · 米国・software_sys_app（us_software_sys_app）
確信度: 高
米国・software_sys_app（us_software_sys_app）におけるindustry/software_growth_profile: 19.56 (19 〜 20)
📝 ソフトウェア: 5y revenue CAGR ~19.6%, NI CAGR ~29.8%。最高成長業界の一つ。
原文の引用を表示
"Damodaran NYU Stern Industry Historical Growth Data (Jan 2026): Software (System & Application), 309 firms, 5-year revenue CAGR 19.56%, 5-year net income CAGR 29.81%."
industry/tobacco_decline_profile
industry/tobacco_decline_profile · 米国・tobacco（us_tobacco）
確信度: 高
米国・tobacco（us_tobacco）におけるindustry/tobacco_decline_profile: 2.91 (1 〜 4)
📝 タバコ: 数量縮小だが値上げで売上 +3% 維持。NI CAGR 29% は restructuring/buyback 効果。
原文の引用を表示
"Damodaran NYU Stern (Jan 2026): Tobacco, 10 firms, 5y revenue CAGR 2.91% (price-led), NI CAGR 29.23%."
industry/tobacco_decline_profile
industry/tobacco_decline_profile · 米国・tobacco_volume（us_tobacco_volume）
確信度: 高
米国・tobacco_volume（us_tobacco_volume）におけるindustry/tobacco_decline_profile: -3.3 (-4 〜 -2.5)
📝 長期数量縮小 -3.3%/yr。直近は -5%/yr に加速。価格上昇がそれを概ね相殺し売上ほぼ横ばい。
原文の引用を表示
"CDC Office on Smoking and Health: "Since 1980, the average rate of decline in US per capita cigarette consumption was 3.3% per year... During 2015-2021, annual U.S. sales of cigarette packs declined about 27%, from 12.5 billion packs to 9.1 billion." Recent volume decline accelerated to ~5%/yr."
industry/utility_growth_profile
industry/utility_growth_profile · 米国・utility_general（us_utility_general）
確信度: 高
米国・utility_general（us_utility_general）におけるindustry/utility_growth_profile: 5.33 (4 〜 6)
📝 電力ガス: 5y CAGR 5%。インフレ調整後 ~2-3%。最低成長セグメント。
原文の引用を表示
"Damodaran NYU Stern (Jan 2026): Utility (General), 14 firms, 5y revenue CAGR 5.33%, NI CAGR 4.86%."
事例集 case_studies
ターンアラウンド成功/失敗の代表例。
破壊的イノベーションによる王座交代
case_studies/disruptive_displacement · 破壊的業界
確信度: 高
破壊的業界における事例集（定性）
📝 ディスクドライブ業界: 5回以上の世代交代、各回25%のみ既存企業生残。
原文の引用を表示
"Disk drive industry: 5+ generational shifts, only 25% of incumbents survived each shift."
ターンアラウンド失敗例
case_studies/failed_turnaround_examples · 写真フィルム
確信度: 高
写真フィルムは構造的衰退で復活できなかった代表例（定性）
📝 コダック1975年デジタル発明→2012年倒産。22年構造衰退。
原文の引用を表示
"Kodak invented digital camera 1975 but failed to transition; bankruptcy 2012 after 22-year secular decline."
ターンアラウンド失敗例
case_studies/failed_turnaround_examples · 伝統小売
確信度: 高
伝統小売は構造的衰退で復活できなかった代表例（定性）
📝 シアーズ: 1980年代支配的→ディスカウント/EC適応失敗→2018年倒産。
原文の引用を表示
"Sears: dominant US retailer 1980s, never adapted to discount/online retail, bankruptcy 2018."
ターンアラウンド失敗例
case_studies/failed_turnaround_examples · 携帯端末
確信度: 高
携帯端末は構造的衰退で復活できなかった代表例（定性）
📝 ノキア: 2007年シェア40%→2013年MS買収（ピーク価値の極一部）。
原文の引用を表示
"Nokia: 40% market share 2007, sold to Microsoft 2013 for fraction of peak value."
日本の失われた10年
case_studies/jp_lost_decade · 日本株(失われた10年)
確信度: 高
日本株(失われた10年)に学ぶ長期停滞の教訓（定性）
📝 日経平均1989年高値復帰まで35年。EPS回復は業種別に大きく分岐。
原文の引用を表示
"Japans lost decade: TOPIX peaked 1989, did not return to peak until 2024 (35 years). EPS recovery was sector-divergent."
case_studies/moat_erosion_quantified
case_studies/moat_erosion_quantified · Eastman Kodak shareholder cumulative return from 1997-2000 peak to 2012 bankruptcy
確信度: 高
Eastman Kodak shareholder cumulative return from 1997-2000 peak to 2012 bankruptcyにおけるcase_studies/moat_erosion_quantified: -0.99
📝 Iconic moat-loss case (digital photography disrupting film). Pre-bankruptcy ROE was high; CAP collapsed. Use as canonical -99% to -100% extreme case.
原文の引用を表示
"In 2000, Kodak had $4.59 per share earnings at a stock price of $39.38... By January 2012, Kodak shares had dropped over 90% in the past year, and the stock price had cratered to penny stock levels (from $3 to $0.20). On January 19, 2012 the company filed for Chapter 11. In 2013, Kodak reissued stock under symbol KODK after emerging from bankruptcy; old shares were rendered virtually worthless. Approximate cumulative loss: -99%."
case_studies/moat_erosion_quantified
case_studies/moat_erosion_quantified · Nokia shareholder cumulative return from 2007 peak (40% global handset share) to 2013 D&S sale to Microsoft
確信度: 高
Nokia shareholder cumulative return from 2007 peak (40% global handset share) to 2013 D&S sale to Microsoftにおけるcase_studies/moat_erosion_quantified: -0.875
📝 6-year horizon. Smartphone disruption (iPhone 2007, Android 2008) eroded mobile MOAT. Critical reference case for MOAT loss in tech hardware.
原文の引用を表示
"Nokia reached a peak stock price of around $40 per share in 2007 with valuation over $150 billion and 40% share in the handset market. By 2013, Nokia ADR shares traded at roughly $5 - approximately 87.5% loss from peak. (MacroTrends / The Motley Fool 2013.)"
case_studies/moat_erosion_quantified
case_studies/moat_erosion_quantified · BlackBerry / RIM shareholder cumulative return from June 2008 peak ($147.55) to 2023
確信度: 高
BlackBerry / RIM shareholder cumulative return from June 2008 peak ($147.55) to 2023におけるcase_studies/moat_erosion_quantified: -0.966
📝 15-year horizon. Network effects on BBM eroded by iMessage/WhatsApp; enterprise mobile management lost to MDM vendors. Multi-decade slow MOAT erosion.
原文の引用を表示
"BlackBerrys stock closed at its all-time high of $147.55 on June 19, 2008. A $10,000 investment at BlackBerrys record high 15 years ago would have withered to about $340, which represents a decline of approximately 97%. (Motley Fool 2023.)"
case_studies/moat_erosion_quantified
case_studies/moat_erosion_quantified · Yahoo! shareholder return from January 2000 peak (~$125B mkt cap) through 2017 Verizon sale of core business
確信度: 高
Yahoo! shareholder return from January 2000 peak (~$125B mkt cap) through 2017 Verizon sale of core businessにおけるcase_studies/moat_erosion_quantified: -0.96 (-0.93 〜 -0.99)
📝 Key case for search/portal MOAT loss to Google (search) and Facebook (display). Pure-core-business loss exceeds 96%; investors who held through Altaba split recovered some via Alibaba stake.
原文の引用を表示
"Yahoo was valued at over $125 billion at its peak in January 2000... reached an all-time low of $8.11 in 2001 (~93% decline from peak)... In June 2017, Verizon Communications acquired Yahoos core internet business for approximately $4.48 billion (~3.5% of peak value)."
case_studies/moat_erosion_quantified
case_studies/moat_erosion_quantified · AOL shareholder return: peak market cap (2000, ~$226B) to 2015 sale to Verizon ($4.4B)
確信度: 高
AOL shareholder return: peak market cap (2000, ~$226B) to 2015 sale to Verizon ($4.4B)におけるcase_studies/moat_erosion_quantified: -0.98
📝 Network access ISP MOAT eroded by broadband. Cumulative shareholder loss ~98% measuring corporate value, pre-merger AOL holders had varying outcomes via TWX shares.
原文の引用を表示
"AOLs market value plummeted from $226 billion to just $1 billion after the merger. On June 23, 2015, AOL was acquired by Verizon Communications for $4.4 billion. ... Considering AOLs market value plummeted... this represents a decline of over 99%."
case_studies/moat_erosion_quantified
case_studies/moat_erosion_quantified · Sears Holdings (SHLD) shareholder cumulative return from April 2007 peak ($131.21) to 2018 Chapter 11
確信度: 高
Sears Holdings (SHLD) shareholder cumulative return from April 2007 peak ($131.21) to 2018 Chapter 11におけるcase_studies/moat_erosion_quantified: -0.997
📝 11-year horizon. Retail MOAT eroded by Amazon and Wal-Mart. Capital allocation (buybacks instead of capex) accelerated decline.
原文の引用を表示
"Sears stock reached its April 2007 peak of $131.21 and ended at 41 cents before bankruptcy filing... Sears lost more than $24 billion in market value since 2007. The stock plunged more than 99% in value, from a high of $143.91 in 2007 to less than $1 a share. (Cabot Wealth Network 2018.)"
case_studies/moat_erosion_quantified
case_studies/moat_erosion_quantified · Blockbuster (BBI) shareholder cumulative return from 2002 peak to September 2010 Chapter 11
確信度: 高
Blockbuster (BBI) shareholder cumulative return from 2002 peak to September 2010 Chapter 11におけるcase_studies/moat_erosion_quantified: -0.99
📝 Streaming/mail-DVD disruption case (Netflix). 8-year shareholder wipeout. Use to calibrate distress probability conditional on technology disruption.
原文の引用を表示
"On its peak in 2002 it was valued $5 billion, 9 years later it was sold for only a little over $300 million. Blockbuster filed for Chapter 11 on September 23, 2010. Now, the stock is available on the OTC market as a cheap penny stock."
ターンアラウンド成功例
case_studies/successful_turnaround_examples · 大型B2B
確信度: 高
大型B2Bは復活を遂げた代表例（定性）
📝 IBM 1993年大幅赤字→2000年最高益。サービス転換で9年回復。
原文の引用を表示
"IBM lost ~$8B in 1993, recovered to record profits by 2000 through services pivot. 9-year recovery."
ターンアラウンド成功例
case_studies/successful_turnaround_examples · 消費者向けテック
確信度: 高
消費者向けテックは復活を遂げた代表例（定性）
📝 Apple 1997年倒産寸前→2011年世界最高値。製品革新による回復。
原文の引用を表示
"Apple near-bankruptcy 1997, became most valuable company by 2011 through product innovation (iMac, iPod, iPhone)."
📚 Sources — 学術ソース（835 件）
| ID | 名称 | 著者 | 年 | 媒体 | URL/DOI | 概要 |
|---|---|---|---|---|---|---|
| 257 | Damodaran Industry Historical Growth Data 2026 | Aswath Damodaran | 2026 | NYU Stern Data Library |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/histgr.html |
5,994 US firms across industries; 5-year CAGR of revenues and net income by industry as of January 2026. |
| 352 | Damodaran Margin/ROIC by Sector (US) | Aswath Damodaran | 2026 | NYU Stern data files |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/mgnroc.html |
Annually updated industry-level operating margin and ROIC dataset for US-listed firms; baseline reference for cross-industry margin and ROIC dispersion. |
| 355 | JP Morgan Guide to the Markets (US) | J.P. Morgan Asset Management (M.Cembalest, S.Hill, et al.) | 2026 | J.P. Morgan Asset Management |
https://am.jpmorgan.com/us/en/asset-management/adv/insights/market-insights/guide-to-the-markets/ |
Quarterly chartbook with reference data on sector P/E vs 20y average, range of returns by holding period, behavior gap, and asset-class returns. |
| 715 | Future Box AI substitution working prior | kabufu / Codex | 2026 | Internal modeling prior | Working prior for AI-agent substitution risk: software, business services, media/advertising and human-labor knowledge services may face demand erosion, price compression, and lower multiple tolerance. | |
| 723 | Kabufu MC model audit 2026-05-09 | Codex / Kabufu internal audit | 2026 | Internal analysis |
file:/home/adore321/kabufu.com/precompute/mc_eps_first.php |
Audit of v1.0.11 Monte Carlo outputs, event calibration, and research.db integration. Based on 974 current mc_results rows and future_box calibration outputs. |
| 724 | Kabufu future_box R calibration v0.8 | Kabufu internal R calibration | 2026 | Internal calibration output |
file:/home/adore321/kabufu.com/research_outputs/future_box/event_calibration_summary.csv |
Historical 5-year-window calibration for event taxonomy using Kabufu Japan finance and monthly price data. Useful but must be de-overlapped and converted carefully before annual MC use. |
| 725 | Kabufu model philosophy memo 2026-05-09 | Kabufu / user guidance / Codex | 2026 | Internal model governance memo |
file:/home/adore321/kabufu.com/inference/research.db |
Principles for improving the Monte Carlo future box: do not fit to current price; diagnose model blind spots; calibrate probabilities to realistic base rates and conditional scenarios. |
| 735 | Ritter IPO Long-run Returns 2026 | Jay R. Ritter | 2026 | IPO long-run statistics |
https://site.warrington.ufl.edu/ritter/files/IPOs-long-run-returns-on-IPOs.pdf |
Long-run IPO return data, including unprofitable, low-sales, and life-science IPO base rates. |
| 749 | Kenneth French Japan 5 Factors | Kenneth R. French Data Library | 2026 | Data library |
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html |
Japan factor returns. 1990-2026 recalculation suggests HML remains material while RMW/CMA are weaker. |
| 750 | Kenneth French Japan 25 Portfolios ME BE-ME | Kenneth R. French Data Library | 2026 | Data library |
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html |
Japan size by BE/ME portfolios show high book-to-market portfolios outperform low book-to-market portfolios over the sample. |
| 751 | Kenneth French Japan 25 Portfolios ME OP | Kenneth R. French Data Library | 2026 | Data library |
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html |
Japan operating-profitability portfolio evidence; profitability premium is weaker and less monotonic than in US evidence. |
| 756 | JPX List of Delisted Companies | Japan Exchange Group | 2026 | JPX |
https://www.jpx.co.jp/english/listing/stocks/delisted/index.html |
JPX delistings mix MBO/TOB, merger, subsidiary conversion, criteria failures, fraud and distress. |
| 761 | Kabufu MC v1.0.14 exit mixture implementation | Kabufu internal model audit | 2026 | internal | Implemented exit-mixture state transitions so debt overhang and distress events do not always become immediate zero-price wipeout. | |
| 762 | Kabufu MC v1.0.15 profitability regime implementation | Kabufu internal model audit | 2026 | internal | Implemented profitability-regime probabilities so margin expansion/compression events represent structural changes beyond normal annual mean reversion. | |
| 765 | Kabufu MC v1.0.16 overlay pass-through implementation | Kabufu internal model audit | 2026 | internal |
file:/home/adore321/kabufu.com/precompute/mc_eps_first.php |
Implemented reliability shrinkage for future outlook overlays so task/theme exposure probabilities remain visible but direct EPS, margin, multiple, and event multiplier pass-through is partial. |
| 766 | Kabufu MC v1.0.17 distress wipeout mixture implementation | Kabufu internal model audit | 2026 | internal |
file:/home/adore321/kabufu.com/precompute/mc_eps_first.php |
Implemented conditional distress wipeout probability so a distress event can become wipeout, dilution/restructuring, or low-value survival depending on balance sheet stress, market cap, PBR, and risk scores. |
| 767 | Kabufu MC v1.0.18 competing valuation regime implementation | Kabufu internal model audit | 2026 | internal |
file:/home/adore321/kabufu.com/precompute/mc_eps_first.php |
Implemented competing valuation-regime events so multiple_compression and multiple_expansion cannot both occur in the same simulation path. |
| 768 | Kabufu MC v1.0.19 cyclical terminal normalization implementation | Kabufu internal model audit | 2026 | internal |
file:/home/adore321/kabufu.com/precompute/mc_eps_first.php |
Implemented mid-cycle terminal normalization for high-cyclicality companies: year-10 market-price paths still reflect boom/bust, but fundamental PV terminal input partially blends terminal margin/ROE back toward normalized mid-cycle economics. |
| 769 | Kabufu MC v1.0.20 macro cycle regime implementation | Kabufu internal model audit | 2026 | internal |
file:/home/adore321/kabufu.com/precompute/mc_eps_first.php |
Implemented persistent macro/cycle states for recession, normal, and boom. Annual recession/boom probabilities now govern state transitions instead of independent annual shocks. |
| 770 | Kabufu MC v1.0.21 biotech option tail implementation | Kabufu internal Monte Carlo diagnostics | 2026 | internal | Implemented a biotech-only stage-gated option-value floor in mc_eps_first.php. The change is based on existing research.db evidence that biotech outcomes have high failure/base-loss rates but a material acquisition/approval/partnership right tail, so it should affect distribution shape rather than force convergence to market prices. | |
| 774 | Kabufu MC v1.0.24 software sales tail targeted test | Kabufu internal Monte Carlo diagnostics | 2026 | internal | Targeted no-save experiment for software_sys/software_internet outliers. Tested a gated sales-multiple terminal tail based on intangible-capital and SaaS Rule-of-40 research. Not deployed because 100-iteration divergent-ticker tests did not show stable improvement beyond simulation noise. | |
| 775 | Kabufu MC v1.0.25 mature rerating overlap targeted test | Kabufu internal Monte Carlo diagnostics | 2026 | internal | Targeted no-save experiment for positive divergence in mature low-PBR names. Tested reducing standalone multiple-expansion hazard when low-PBR rerating may already be represented by capital-return acceleration. Not deployed because seeded 100-iteration tests were mixed and path interaction sometimes increased fair value. | |
| 776 | Kabufu MC v1.0.26 rerating competition targeted test | Kabufu internal Monte Carlo diagnostics | 2026 | internal | Targeted no-save experiment for upper divergence in mature value names. Tested making low-PBR mature-stock multiple expansion compete with already-realized capital-return acceleration inside each path. Not deployed because seeded 100-iteration tests were mixed and sometimes raised terminal values. | |
| 777 | Kabufu MC v1.0.27 rerating co-occurrence diagnostic | Kabufu internal Monte Carlo diagnostics | 2026 | internal | No-save diagnostic run for upper-divergence mature/value names. Added temporary counters for capital-return acceleration and multiple expansion/compression co-occurrence within the same 100-path run. No production model change. | |
| 778 | Kabufu MC v1.0.29 mature S/C rerating branch targeted test | Kabufu internal Monte Carlo diagnostics | 2026 | internal | Targeted no-save experiment for upper divergence in mature low-PBR S/C-state names. Replaced independent capital-return, multiple-expansion, and multiple-compression draws with a path-level competing rerating branch for mature value candidates only. Not deployed yet; candidate for next narrow promotion and later full recompute. | |
| 779 | Kabufu MC v1.0.29 broader mature S/C rerating branch validation | Kabufu internal Monte Carlo diagnostics | 2026 | internal | Broader no-save validation of the mature S/C low-PBR competing rerating branch on 14 upper-divergence candidates. No production model change and no full recompute. | |
| 780 | Kabufu MC v1.0.30 stable mature rerating branch targeted test | Kabufu internal Monte Carlo diagnostics | 2026 | internal | Targeted no-save experiment for upper divergence in stable mature low-PBR sectors. The competing rerating branch is limited to wholesale, railroad, trucking, beverage, and household_products-like mature stable sectors plus the configured whitelist. No production model change and no full recompute. | |
| 781 | Kabufu MC v1.0.30 stable mature rerating additional validation | Kabufu internal Monte Carlo diagnostics | 2026 | internal | Additional no-save validation of the stable mature rerating branch on 12 previously untested candidates. No production model change and no full recompute. | |
| 782 | Kabufu MC v1.0.31-v1.0.32 positive rerating overlap targeted test | Kabufu internal diagnostics | 2026 | internal targeted no-save Monte Carlo diagnostic | Twelve stable mature low-PBR tickers were tested with 100 no-save iterations. v1.0.31 showed that v1.0.30 mixed results are not explained simply by higher multiple-expansion frequency. v1.0.32 allowed compression to coexist with capital return while competing positive overlap only; under the same seed it still raised many tickers, suggesting capital return feeds valuation through multiple paths and needs more granular calibration rather than a broad branch rule. | |
| 786 | Kabufu MC v1.0.33-v1.0.34 capital return ablation targeted test | Kabufu internal diagnostics | 2026 | internal targeted no-save Monte Carlo diagnostic | Ablated capital-return effects on twelve stable mature low-PBR tickers. Removing payout-base bump lowered fv_p50 by an average 845 yen, while removing share drift lowered 52 yen and removing multiple shock lowered 26 yen. A budgeted payout/buyback candidate lowered 11 of 14 upper-divergence names but slightly lowered lower-divergence names too; not deployed pending narrower validation. | |
| 787 | Kabufu MC v1.0.36 gated capital-return budget targeted validation | Kabufu internal diagnostics | 2026 | internal targeted no-save Monte Carlo validation | A gated capital-return budget rule was tested with fair randomization on upper-divergence, lower-divergence, stable mature, and near-fair control buckets using 100 no-save iterations. The rule applies only to positive-EPS S/C state low-growth low-PBR companies excluding biotech/software/semiconductor option-like industries. It lowered 14/14 upper-divergence names, left 12/12 lower-divergence names unchanged, lowered 12/12 stable mature names, and lowered 16/16 near-fair controls. This supports the hypothesis that the existing model over-capitalizes permanent payout-base increases in mature low-PBR firms, but broad fair-control impact means no deployment yet. | |
| 788 | Kabufu MC v1.0.37 full recompute rollback diagnostic | Kabufu internal diagnostics | 2026 | internal production recompute and rollback note | v1.0.37 capital-return budget mixture was deployed after targeted validation and full recomputed. Full diagnostics showed only small reduction in upper extreme count and a worse lower-extreme/average-gap profile, so the production script and results were rolled back to v1.0.23 via backup and full recompute. | |
| 790 | Kabufu MC v1.0.38-v1.0.39 software scale-up targeted test | Kabufu internal diagnostics | 2026 | internal targeted no-save Monte Carlo diagnostic | Tested a software scale-up rule for companies with high recent revenue growth and improving low operating margins. v1.0.38 raised lower-divergence software names but also over-raised already-profitable growth names. v1.0.39 excluded operating margins above 12%, limiting changes to transition-stage companies; on 30 divergent software names, 6 changed and 24 were unchanged at 100 iterations. | |
| 791 | Kabufu MC v1.0.39 software scale-up full recompute diagnostic | Kabufu internal diagnostics | 2026 | internal production recompute diagnostic | v1.0.39 software scale-up persistence was deployed and full recomputed. It affects only six software_sys/software_internet companies meeting high-revenue-growth, improving low-operating-margin, Rule-of-40-like criteria. Full recompute showed no worsening in upper50/lower50 counts and reduced abs80 from the immediate v1.0.23 rollback baseline, with 4384 and 4784 leaving extreme lower divergence. | |
| 792 | Kabufu internal restaurant margin panel 2021-2025 | Kabufu financial database | 2026 | Kabufu finance-custom.db / EDINET-derived annuals |
internal://finance-custom.db/kabufu_annual |
Restaurant industry panel computed from Kabufu annual financials joined to analysis_meta industry_code=restaurant; used to calibrate realistic thin-margin future boxes without fitting to market prices. |
| 794 | Kabufu internal wholesale margin panel 2021-2025 | Kabufu financial database | 2026 | Kabufu finance-custom.db / EDINET-derived annuals |
internal://finance-custom.db/kabufu_annual |
Wholesale industry panel computed from Kabufu annual financials joined to analysis_meta industry_code=wholesale; used to calibrate distressed sales-multiple behavior for thin-margin distribution businesses. |
| 795 | Kabufu MC wholesale margin ceiling diagnostics 2026-05-10 | Kabufu/Codex internal diagnostic | 2026 | Kabufu mc_eps_first.php targeted no-save diagnostics | Targeted no-save Monte Carlo diagnostics comparing current v1.0.39 against thin-margin wholesale net-margin ceiling candidates for Japanese specialist wholesalers. | |
| 797 | Kabufu v1.0.40 lower-tail low-margin pass-through diagnostics 2026-05-11 | Kabufu internal MC diagnostics | 2026 | internal diagnostic: mc_results v1.0.40 + kabufu_annual finance history + targeted no-save runs | Screened v1.0.40 saved MC paths and annual finance history for stable-positive companies whose median EPS path turns negative; ran targeted 100-300 no-save diagnostics on low-margin pass-through candidates and event ablations. | |
| 798 | Kabufu v1.0.41 stable low-margin floor deployment 2026-05-11 | Kabufu internal MC diagnostics | 2026 | internal diagnostic: annual margin history + targeted no-save MC tests | Low-margin pass-through companies showed a model floor defect: current marginFloor allowed a blanket -12% net margin even when decades of annual history had no net losses or only shallow losses. Deployed a narrow empirical floor for stable low-margin pass-through industries. | |
| 799 | Kabufu v1.0.41 low-margin bucket targeted validation 2026-05-11 | Kabufu internal MC diagnostics | 2026 | internal targeted no-save simulation: 33 stable low-margin pass-through tickers, 100 iterations paired seed | Compared v1.0.40 backup with deployed v1.0.41 on stable low-margin pass-through bucket only, no-save, 100 iterations with paired seed. Used for behavior validation, not full recompute. | |
| 800 | Kabufu thin pass-through turnaround calibration and v1.0.42 diagnostic 2026-05-11 | Kabufu internal MC diagnostics | 2026 | internal finance-custom.db 5-year transition panel plus targeted no-save MC tests | Calibrated thin pass-through loss/barely-profitable transitions using Kabufu annual finance history for wholesale, retail, grocery, specialty retail, and oil/gas distribution. Tested a v1.0.42 candidate that caps strong turnaround_recovery incidence for low-margin pass-through D/L cases. | |
| 801 | Kabufu thin pass-through distressed residual P/S diagnostic 2026-05-11 | Kabufu internal MC diagnostics | 2026 | internal cross-sectional P/S screen plus targeted no-save MC tests | Reviewed upper-divergence thin pass-through cases where terminal EPS median could be negative while terminal price/FV remained high due generic residual sales multiples. Calibrated from current P/S distribution for wholesale/retail/grocery/specialty/oil distribution and targeted no-save tests. | |
| 802 | Kabufu v1.0.43 upper-divergence positive-depressed turnaround diagnostic 2026-05-11 | Kabufu internal MC diagnostics | 2026 | internal 5-year transition panel, targeted no-save ablations, and spot external price check for 5706 |
https://www.investing.com/equities/mitsui-mining-and-smelting-co.-historical-data |
Reviewed upper-divergence names after v1.0.43, focusing on positive but depressed D/C states such as 7267 and 2269. Checked internal 5-year recovery base rates and ran no-save turnaround ablations. Also spot-checked 5706 external price to rule out a simple 10x local price bug. |
| 803 | Kabufu internal stable electronics terminal-margin base-rate study | Kabufu diagnostics | 2026 | research.db internal historical cohort study | Internal cohort of Japanese electronics_consumer/electrical_equipment/electronic_components listings: 10-year positive EPS and positive net-margin windows with equity ratio >=30% showed rare 10-year terminal net losses, supporting a stable-electronics resilience guard. | |
| 804 | Kabufu internal restaurant and hospitality recent-loss recovery study | Kabufu diagnostics | 2026 | research.db internal historical cohort study | Internal cohort of Japanese restaurant and hospitality listings where latest EPS was positive but the prior 5-year window included losses. Used to diagnose whether low-margin recovery-stage companies should be state S, D, or L in the Monte Carlo model. | |
| 805 | Kabufu software AI overlay ablation diagnostics | Kabufu diagnostics | 2026 | targeted no-save Monte Carlo ablation | Targeted 500-iteration no-save ablations on software_sys/software_internet divergent tickers tested whether AI substitution overlays or multiple compression were sole drivers of low valuation outputs. | |
| 806 | Kabufu internal diagnostic: utility capital return constraint v1.0.45 targeted test (2026-05-12) | Kabufu Monte Carlo diagnostics | 2026 | Internal targeted no-save simulation and ablation log | Upper-divergence ablation showed several high-FV cases were sensitive to capital_return_acceleration. The defect candidate was concentrated in regulated capital-intensive utilities where low equity ratios and debt-overhang risk make sustained payout and buyback acceleration less plausible than for ordinary mature cash generators. | |
| 807 | Kabufu internal diagnostic: v1.0.45 lower-divergence ablation for AI/capex enablers (2026-05-12) | Kabufu Monte Carlo diagnostics | 2026 | Internal targeted no-save simulation and ablation log | Targeted lower-divergence diagnostics for old -90% cases and AI/capex/power-grid enablers under production v1.0.45. Current model still marks many high-PBR/high-multiple names as materially overvalued, but the ablation indicates this is mostly not caused by a single excessive multiple-compression or secular-decline event. | |
| 809 | Kabufu internal diagnostic: v1.0.46 investment holding NAV candidate not sufficient (2026-05-12) | Kabufu Monte Carlo diagnostics | 2026 | Internal targeted no-save simulation | A simple investment-holding heuristic that removed securities AI-substitution overlay and raised PBR blending barely changed 9984. The remaining failure is absence of NAV/share input, not a tunable EPS/PBR blend parameter. | |
| 811 | Kabufu internal diagnostic: v1.0.46 NAV input floor deployed (2026-05-12) | Kabufu Monte Carlo diagnostics | 2026 | Internal targeted no-save simulation and deployment log | Production v1.0.46 adds an explicit investment_holding_nav_inputs table and a stressed current-NAV floor for investment-holding-like companies with sourced NAV/share data. Targeted tests were limited to 9984 and finance controls; no all-ticker recompute was run. | |
| 812 | Kabufu internal diagnostic: v1.0.47 mature auto turnaround cap deployed (2026-05-12) | Kabufu Monte Carlo diagnostics | 2026 | Internal targeted no-save simulation and deployment log | Upper-divergence scan showed mature auto OEMs in D/L states could receive near-certain 10y turnaround events. Production v1.0.47 caps auto_oem/auto_parts D/L turnaround annual probability using existing high-confidence cyclical_asset scenario priors instead of allowing event-taxonomy exposure to hit the generic 30% annual ceiling. | |
| 814 | Kabufu internal diagnostic: v1.0.48 biotech pipeline stage input deployed (2026-05-12) | Kabufu Monte Carlo diagnostics | 2026 | Internal targeted no-save simulation and deployment log | Production v1.0.48 adds biotech_pipeline_inputs and shifts biotech option-value retention distribution only for sourced approved/launch-preparation pipeline assets. Targeted tests showed 4592 changed while control 4588 was stable; no all-ticker recompute was run. | |
| 815 | Kabufu internal diagnostic: v1.0.49 loss-maker turnaround prior cap deployed (2026-05-12) | Kabufu Monte Carlo diagnostics | 2026 | Internal targeted no-save simulation and deployment log | Production v1.0.49 caps L/D-state turnaround_recovery annual probability for loss-maker, serial-diluter, and balance-sheet-stress cases using existing scenario_outcome_rates priors. The goal is to prevent generic event exposure from implying near-certain 10y turnaround when empirical 5y scenario priors are much lower. | |
| 816 | JapanIR Fujikura stock split 2026 summary | JapanIR / TDnet summary | 2026 | JapanIR |
https://japanir.jp/en/company/company-5803/ir/5803-20260225-03_wp_capital_policy/ |
Fujikura 5803 resolved a 1-for-6 stock split with record date 2026-03-31 and effective date 2026-04-01; issued shares increase from 295,863,421 to 1,775,180,526. |
| 817 | Kabufu internal 5032 industry classification audit | Kabufu MC diagnostics | 2026 | internal diagnostic | 5032 analysis_meta describes VTuber/IP business; targeted v1.0.52 no-save probe compared software_internet vs software_entertainment classification. | |
| 818 | GNI F351 China NDA priority-review prior consultation 2026-01-06 | GNI Group / TDnet via JapanIR | 2026 | company IR disclosure |
https://japanir.jp/en/company/company-2160/ir/2160-20260106-01_wp_product_announcement/ |
GNI/Gyre disclosed completion of CDE prior consultation for F351 China NDA submission; Phase 3 was favorable, conditional approval submission is possible, and priority review eligibility was confirmed. |
| 819 | Metaplanet Bitcoin holdings disclosure 2026-04-02 | Metaplanet Inc. | 2026 | company IR disclosure |
https://metaplanet.jp/disclosure/en/20260402T160721Z-_4_2_2026__-_Notice_of_Additional_Purchase_of_Bitcoin___2_.pdf |
Metaplanet disclosed 40,177 BTC total holdings as of 2026-03-31, common shares 1,274,171,340 and effective diluted shares 1,624,499,175 for BTC Yield calculations. |
| 820 | Oncolys OBP-301 pipeline and FDA Fast Track disclosure | Oncolys BioPharma; Medigen Biotechnology | 2026 | Company pipeline and material information disclosures |
https://www.medigen.com.tw/en/upload/material_information_120260423165111.pdf |
Oncolys pipeline pages list Telomelysin/OBP-301 clinical programs including Phase 2 studies; Medigen material information dated 2026-04-23 states FDA Fast Track designation for OBP-301 plus radiation therapy in unresectable gastroesophageal cancer and notes rolling-review eligibility but continued development risk. |
| 821 | Kabufu internal diagnostic: rejected stable service margin resilience candidate v1.0.57 | Kabufu MC diagnostics | 2026 | internal targeted no-save test | Targeted tests on restaurant/hospitality lower-divergence names after v1.0.56. Candidate added a narrow stability margin floor and volatility shrink for long-history positive-guidance restaurants/hotels, but 100/500 no-save comparisons did not improve model behavior robustly. | |
| 822 | Kabufu internal diagnostic: rejected low-margin service volatility anchor candidate v1.0.57 | Kabufu MC diagnostics | 2026 | internal targeted no-save test | Targeted 100-iteration no-save test for restaurant/hospitality names after v1.0.56. Candidate anchored low-margin service annual margin noise to observed recent margin volatility, but did not improve 7616/9708 behavior and risked becoming a cosmetic adjustment. | |
| 823 | Kabufu internal diagnostic: rejected cyclical low-PBR distress blend candidate v1.0.57 | Kabufu MC diagnostics | 2026 | internal targeted no-save test | Targeted 500-iteration no-save test for upper-divergence low-PBR/cyclical names after v1.0.56. Candidate capped PBR blend for D-state high-cyclicality low-PBR names from 0.72 to 0.58, but did not reduce 7267 upper divergence. | |
| 824 | Kabufu internal diagnostic: v1.0.57 negative guidance anchor | Kabufu MC diagnostics | 2026 | internal targeted no-save test | Targeted diagnostics found that explicit negative EPS and negative net-margin company guidance was underweighted after a positive trailing EPS year, allowing immediate reversion to normal profits. 7267 was the representative case; controls included existing loss makers and non-negative-guidance cyclicals. | |
| 825 | Kabufu internal diagnostic: rejected finance-conglomerate equity-ratio exemption candidate v1.0.58 | Kabufu MC diagnostics | 2026 | internal targeted no-save test |
https://global.rakuten.com/corp/news/press/2026/0212_01.html |
Targeted test for Rakuten-like finance-heavy conglomerates after v1.0.57. Public Rakuten FY2025 materials show Internet Services, FinTech and Mobile segments, bond market access, and mobile EBITDA progress, supporting the hypothesis that simple industrial equity-ratio stress may be too crude. However, the candidate did not improve targeted model behavior robustly. |
| 826 | Nxera Pharma Q1 2026 operational highlights and consolidated results | Nxera Pharma | 2026 | Company operational highlights and consolidated results |
https://www.globenewswire.com/news-release/2026/05/01/3285682/0/en/nxera-pharma-operational-highlights-and-consolidated-results-for-the-first-quarter-2026.html |
Official Q1 2026 update for 4565 describing commercial licensing activity, regulatory progress, and partnered muscarinic programs including direclidine/NBI-1117568 Phase 3 studies in schizophrenia. |
| 829 | Atom shareholder benefit program | Atom Corporation | 2026 | Company IR shareholder benefit page |
https://www.atom-corp.co.jp/ir/shareholder.html |
Official Atom IR page states current shareholder benefit points: annual total 2,000 points for 100-499 shares, 10,000 for 500-999, and 20,000 for 1,000 or more; one point can be used as one yen. |
| 831 | Infomart FY2025 results and FY2026 forecast | Infomart Corporation | 2026 | Company results presentation / financial forecast |
https://ircms.irstreet.com/contents/data_file.php?brand=12&data=270032&filename=pdf_file.pdf&template=1878 |
Company materials and forecast indicate continued double-digit revenue growth and a sharp operating-profit recovery for 2492, consistent with operating leverage in a profitable cloud/platform business. |
| 835 | Colowide shareholder benefits official page | COLOWIDE CO., LTD. | 2026 | Company investor relations website |
https://www.colowide.co.jp/en_us/ir/stock_info/stockholder/ |
Official shareholder benefit page: shareholders holding 500 or more shares receive shareholder benefit points worth 10,000 yen four times per year when holding across both March and September record dates; points can be used as 1 point = 1 yen at eligible group stores or exchanged for items. |
| 836 | Allegro MicroSystems ownership and Sanken repurchase disclosures | Allegro MicroSystems; MarketScreener; Public.com; Exchange-rate references | 2026 | Company IR press release, ownership table, market price references |
https://investors.allegromicro.com/news-releases/news-release-details/allegro-microsystems-inc-enters-its-next-phase-public-company/ ; https://www.marketscreener.com/quote/stock/ALLEGRO-MICROSYSTEMS-INC-166577863/company-shareholders/ ; https://public.com/stocks/algm/pre-market ; https://wise.com/gb/currency-converter/usd-to-jpy-rate/history |
Allegro disclosed Sanken ownership would fall to about 32.5% after repurchase; MarketScreener listed Sanken at 59,732,782 ALGM shares / 32.24%; May-2026 market references show ALGM around USD47.60 and USDJPY around 156.68. Used only as a stressed listed-holding NAV input, not a target price. |
| 837 | Imperial Hotel shareholder benefit official page | Imperial Hotel, Ltd. | 2026 | Company investor relations website |
https://www.imperialhotel.co.jp/financial/incentives |
Official shareholder benefit page: shareholders holding 100 or more shares receive annual hotel-use coupons; 100-299 shares receive 1,000 yen, with larger tiers and long-term-holder additions. |
| 49 | AOL-Time Warner Case (Bahnsen Group / Axios summaries) | David L. Bahnsen / Axios reporting | 2025 | Investor commentary |
https://thebahnsengroup.com/dividend-cafe/what-to-learn-from-the-worst-business-deal-in-history-july-18-2025/ |
Aggregates publicly known facts: AOL peak market cap ~$226B (2000), merger valuation $182B; Verizon acquired AOL for $4.4B in 2015 (~99% destruction from peak); equivalent shareholder loss for Yahoo (Verizon paid $4.48B in 2017 vs $125B peak in 2000). |
| 56 | RECOF/MARR Japan M&A Statistics 2024 | Recof Data / MARR Online | 2025 | MARR Online |
https://www.marr.jp/menu/ma_statistics/ma_markettrend/entry/56991 |
日本企業M&A 2024年回顧。総件数4,700件(過去最多)、TOB100件超(2007年以来17年ぶり)、IN-IN 3,702件、事業承継M&A 920件。 |
| 57 | MARR Online: M&A delisting trends 2024 | Recof Data | 2025 | MARR Online |
https://www.marr.jp/menu/ma_statistics/ma_markettrend/entry/57631 |
2024年M&A・グループ内再編による上場廃止94件 (2023:71件、+32.4%)、新規上場件数86件を上回り上場企業数が初めて減少。 |
| 59 | Square Corporate Advisory: 2024 M&A Premium Analysis | Square Corporate Advisory | 2025 | Square Corporate Advisory column |
https://www.squaregroup.co.jp/column/2024年度ma買収プレミアムの動向と分析/ |
2024年度TOB案件 premium中央値 43.3%、レンジ 7.0%-275.1%。 |
| 61 | M&A Online: TOB pace 50+ in May 2025 | M&A Online | 2025 | M&A Online |
https://maonline.jp/articles/tob_over_fiftycases_20250513 |
2024年TOB 100件超(2007年104件以来17年ぶり)、2022年59件。2025年5月時点で既に50件、過去最速ペース。 |
| 62 | CorpDev.Org: Japan New M&A Framework 2025 | CorpDev.Org editorial | 2025 | CorpDev.Org |
https://www.corpdev.org/2025/04/24/japans-new-ma-framework-elevates-take-private-costs-as-regulatory-scrutiny-intensifies/ |
Japanese take-private premium 2024=42%, 2022=34%。Take-private = 61% of PE deals in 2024 vs 45% in 2021. 37% of TOPIX below 1x P/B (Q1 2025). |
| 64 | JPX Listed Company Statistics 2024 | Japan Exchange Group | 2025 | JPX listing statistics |
https://www.jpx.co.jp/listing/co/index.html |
2024年末上場企業: プライム1,640社、スタンダード1,592社、グロース610社、TOKYO PRO Market 133社、合計3,975社(外国会社6社)。 |
| 67 | Insource: Parent-Subsidiary listing dissolution TOB 2024 | Insource HR Article | 2025 | Insource HR Article |
https://www.insource.co.jp/contents/hr-article-no79392.html |
親子上場解消目的TOB件数。2024年=11件、2025年5月時点で8件 (過去10年最速ペース)。 |
| 68 | Law.asia: Japan unsolicited offers post-METI 2023 guidelines | Law.asia | 2025 | Law.asia |
https://law.asia/japan-unsolicited-offers-meti-guidelines-impact/ |
METI 2023年買収ガイドライン以降、敵対的・同意なきTOB 6件 (2025/2末時点)。成功事例で premium 79.68%, 86.84%。 |
| 72 | Lexology: Year in review M&A Japan 2024 | Lexology / Mori Hamada | 2025 | Lexology |
https://www.lexology.com/library/detail.aspx?g=7e47fbe9-ddcd-446b-a8b7-aa33ab5e5410 |
2024年TOB 99件 (+23.8% YoY)、$28.1B (-17.1% YoY)。 |
| 74 | Mauboussin 2025 "Drawdowns and Recoveries" | Michael J. Mauboussin, Dan Callahan | 2025 | Counterpoint Global Insights / Morgan Stanley (white paper, May 2025) |
https://www.morganstanley.com/im/publication/insights/articles/article_drawdownsandrecoveries_ltr.pdf |
6,500+ US stocks 1985-2024. Median max drawdown 85%. 54% never recover to par. Recovery probability inversely proportional to drawdown size: 80% (0-50%) vs ~17% (95-100%). |
| 78 | Carlson 2025 "Not All Stocks Recover Their Losses" | Ben Carlson | 2025 | A Wealth of Common Sense (May 2025 commentary on Mauboussin 2025) |
https://awealthofcommonsense.com/2025/05/not-all-stocks-recover-their-losses/ |
Plain-language summary of Mauboussin 2025 with example stocks: Citigroup -87%, Walgreens -88%, Estee Lauder -82% remain underwater for years. |
| 81 | ICLG Restructuring & Insolvency Japan 2025-2026 | ICLG / Nishimura & Asahi / Anderson Mori & Tomotsune | 2025 | International Comparative Legal Guides |
https://iclg.com/practice-areas/restructuring-and-insolvency-laws-and-regulations/japan |
Civil Rehabilitation vs Corporate Reorganization in Japan: equity nearly always wiped (reorganization), 100% loss for shareholders is the norm. Senior unsecured recovery often 5-30%. |
| 258 | Bessembinder 2025 "One Hundred Years in U.S. Stock Markets" | Hendrik Bessembinder | 2025 | SSRN Working Paper |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=6438198 |
29,754 US common stocks 1926-2025. Documents skew of returns; small decile only 42.4% positive 10-year returns vs 81.3% for large decile. |
| 259 | SaaS Capital Benchmarks 2024-2025 | SaaS Capital | 2025 | SaaS Capital Bootstrapped Benchmarks |
https://www.saas-capital.com/blog-posts/benchmarking-metrics-for-bootstrapped-saas-companies/ |
Survey of B2B private SaaS companies. Median growth declines monotonically with scale; <$1M ARR firms grow ~50% YoY, >$20M ARR ~25%. |
| 261 | Damodaran "Data Update 5 for 2025: Profitability" | Aswath Damodaran | 2025 | Musings on Markets / Substack |
https://aswathdamodaran.substack.com/p/data-update-5-for-2025-profitability |
Global firm dataset, 2024 fiscal year. Documents 80% of firms earn ROIC < cost of capital; Japan has 82% money-makers but only 40% exceed cost of equity. |
| 349 | Russell Investments Concentrated Stock Risk | Russell Investments Research | 2025 | Russell Investments Insights |
https://russellinvestments.com/content/ri/us/en/insights/russell-research/2025/02/concentrated-stock-positions-high-rewards-higher-risks--what-to-.html |
Median individual-stock volatility in the Russell 3000 (1999-2018) was more than 3x the index volatility, illustrating the diversification cost of single-stock concentration. |
| 407 | Damodaran Industry Working Capital Data | Damodaran, Aswath | 2025 | NYU Stern Datasets |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/dataarchived.html |
Industry-level data on Non-cash Working Capital as % Revenue, Days Sales Outstanding, Days Inventory, Days Payable, by US industry and global industry. Updated annually. |
| 702 | Mauboussin "Drawdowns and Recoveries" 2025 | Michael J. Mauboussin, Dan Callahan | 2025 | Counterpoint Global / Morgan Stanley | 20%+下落のあった年の翌年S&P500平均+15%、底値起算1年では+38%。1928-2024の97年で27回の弱気相場の86%が3年内にピーク回復。 | |
| 716 | World Economic Forum Future of Jobs Report 2025 | World Economic Forum | 2025 | Future of Jobs Report 2025 |
https://www.weforum.org/publications/the-future-of-jobs-report-2025/ |
Employer survey across economies and industries; AI and information processing technology are major drivers of job transformation through 2030, with clerical, secretarial, design and some legal support roles facing decline pressure. |
| 726 | McKinsey How to value cyclical companies | McKinsey & Company | 2025 | McKinsey Corporate Finance |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/how-to-value-cyclical-companies |
Cyclical company valuation should focus on long-term trend rather than current cycle point; consensus often extrapolates peaks and troughs; market pricing may blend cycle reversion and new-trend scenarios. |
| 758 | TSR Japan Corporate Bankruptcies 2024 | Tokyo Shoko Research | 2025 | TSR |
https://www.tsr-net.co.jp/news/status/detail/1200857_1610.html |
2024 overall bankruptcies rose, but listed-company bankruptcy was one case. |
| 796 | Panasonic Holdings official business segments and FY2025 materials | Panasonic Holdings Corporation | 2025 | Panasonic official investor/news materials |
https://news.panasonic.com/global/press/en250509-4 |
Official Panasonic FY2025 financial materials and business/segment disclosures show Panasonic is a diversified group including automotive batteries, Blue Yonder/supply-chain software, infrastructure, industry, energy, and consumer/lifestyle businesses rather than a pure consumer electronics/AV exposure. |
| 808 | SoftBank Group Report 2025: NAV and LTV as primary valuation metrics for SBG | SoftBank Group Corp. | 2025 | SoftBank Group Report 2025, Growth Assets section |
https://group.softbank/media/Project/sbg/sbg/pdf/ir/financials/annual_reports/annual-report_fy2025_05_en.pdf |
Official SBG report states that NAV is the key metric for assessing SBG, gives March 31 2025 NAV of JPY25.7tn, equity value of holdings of JPY31.4tn, net debt of JPY5.7tn, and LTV of 18.0%. This supports treating SBG-like investment holding companies with a NAV/asset-value sleeve rather than pure EPS-first terminal valuation. |
| 810 | SoftBank Group NAV per Share page as of December 31 2025 | SoftBank Group Corp. | 2025 | SoftBank Group Investor Relations |
https://group.softbank/en/ir/stock/sotp |
Official SBG SOTP/NAV page gives December 31 2025 NAV per share JPY5,427, NAV JPY30.93tn, equity value of holdings JPY38.98tn, net debt JPY8.05tn, and LTV 20.6%, reflecting the four-for-one stock split effective January 1 2026. |
| 813 | SanBio AKUUGO partial change approval and launch preparation 2025-12-09 | SanBio Co., Ltd. | 2025 | Official SanBio news release |
https://www.sanbio.com/wp/wp-content/uploads/2025/12/PR%EF%BC%BFEN.pdf |
SanBio announced that MHLW approved a partial change to AKUUGO marketing authorization, lifting the previous shipment restriction condition. AKUUGO remains under conditional and time-limited approval, with launch planned after NHI price listing and full approval targeted within seven years. |
| 832 | IEA Energy and AI 2025 | International Energy Agency | 2025 | IEA special report |
https://www.iea.org/reports/energy-and-ai |
IEA projects data centre electricity demand more than doubling to 2030, with AI-optimised data centres a major driver; useful as a forward infrastructure-demand prior, not a direct equity valuation target. |
| 833 | LightCounting Cloud Data Center Optics July 2025 | LightCounting | 2025 | Cloud Data Center Optics market report/newsletter |
https://www.lightcounting.com/newsletter/en/july-2025-cloud-data-center-optics-330 |
LightCounting describes AI clusters as a new market for optical interconnects and forecasts strong optical connectivity growth through 2030; useful for optical/fiber direct-demand persistence priors. |
| 1 | Damodaran 2024 Country/Industry Data | Aswath Damodaran | 2024 | NYU Stern (online dataset, updated annually) |
https://pages.stern.nyu.edu/~adamodar/ |
業種別ベータ・ERP・成長率・WACCの公開データセット。日本ERPは5.14% (Jan 2026)、業種別g_terminalも掲載。 |
| 25 | Moodys "Annual Default Study" 2024 | Moodys Investors Service | 2024 | Annual Default Report |
https://www.moodys.com/research/default-and-recovery-rates |
格付け別年次倒産率の最も体系的なデータ。1920年代-現在をカバー。 |
| 26 | S&P Global "Annual Global Corporate Default Study" | S&P Global Ratings | 2024 | Annual Default Report |
https://www.spglobal.com/ratings/en/research-insights/default-transition-and-recovery |
S&Pによる年次デフォルト・回収率レポート。投資適格と投機級ごと。 |
| 63 | Daiwa Institute: M&A activity in Japan 2023 | Daiwa Institute of Research | 2024 | Daiwa Institute consulting report |
https://www.dir.co.jp/report/consulting/ma_valuation/20240531_024426.pdf |
日本企業M&A動向 2023年版。MBO/TOB件数の年次推移とプレミアム分析。 |
| 65 | Nikkei: PBR below 1x improvement progress 2024 | Nihon Keizai Shimbun | 2024 | Nikkei (Bloomberg via Nikkei) |
https://www.nikkei.com/article/DGXZQOUB168T00W4A410C2000000/ |
プライム市場PBR1倍割れ企業数 2022/7=922社(50%) → 2024/5=703社(43%)。東証PBR改革要請後1年で1割解消。 |
| 66 | Nomura Capital Market Research: Parent-subsidiary listing trends | Nomura Capital Market Research Institute | 2024 | Nomura Capital Market Research |
https://money-bu-jpx.com/news/article060992/ |
親子上場190社(2024/3末)、30年ぶりに200社割れ。上場子会社 2014年324社(9.7%) → 2024年230社(6.0%)に減少。 |
| 71 | Bain: Japan M&A Report 2024 | Bain & Company | 2024 | Bain & Company Insights |
https://www.bain.com/insights/japan-m-and-a-report-2024/ |
2023年日本M&A 1230億ドル(+23% YoY)。PE記録的水準。 |
| 75 | Tokyo Shoko Research (TSR) Listed-Company Bankruptcy & Delisting Reports | Tokyo Shoko Research | 2024 | TSR Data Insight (annual reports 2014-2024) |
https://www.tsr-net.co.jp/data/detail/1191049_1527.html |
Annual delisting count by reason (subsidiary, M&A, bankruptcy, criteria). 2024: 94 delistings (decade-high), only 1 listed-company bankruptcy. 2008 peak: 79 delistings, 33 listed bankruptcies. |
| 76 | Teikoku Databank "Listed-Company Bankruptcy Trend Survey 2024" | Teikoku Databank | 2024 | TDB Economic Report (Dec 2024) |
https://www.tdb.co.jp/report/economic/20241227-joujoutousan/ |
Listed-company bankruptcies in Japan: peak 33 in 2008 (Lehman), <=3/year for 12 consecutive years 2013-2024. Private restructuring (ADR) absorbs most distress. |
| 80 | Nikkei 2024 "TSE delistings 94 — record decade-high" | Nikkei | 2024 | Nikkei Newspaper (Nov/Dec 2024) |
https://www.nikkei.com/article/DGXZQOTG259MW0V21C24A1000000/ |
2024 TSE delistings 94 vs 61 in 2023. Driven by go-private buyouts, MBO, and Standard reclassification opt-outs. Listed-company count declined for first time. |
| 82 | NBER Business Cycle Dating Committee | NBER Business Cycle Dating Committee | 2024 | NBER (official cycle reference dates) |
https://www.nber.org/research/business-cycle-dating |
Official NBER reference dates for U.S. business-cycle peaks and troughs since 1854. Used for recession-frequency and duration statistics. |
| 83 | Cabinet Office Japan Business Cycle Reference Dates | 内閣府経済社会総合研究所 | 2024 | 内閣府「景気基準日付」 |
https://www.esri.cao.go.jp/jp/stat/di/hiduke.html |
Official Japanese government business-cycle peaks and troughs (景気基準日付) used for JP recession dating. |
| 84 | S&P Dow Jones Indices S&P 500 Earnings & Estimate Report | Howard Silverblatt / S&P Dow Jones Indices | 2024 | S&P 500 Earnings (public quarterly release) |
https://www.spglobal.com/spdji/en/indices/equity/sp-500/ |
Aggregate S&P 500 operating and reported EPS history. Used for peak-to-trough recession EPS drawdowns and recovery durations. |
| 85 | JPMorgan Guide to the Markets | J.P. Morgan Asset Management | 2024 | Guide to the Markets (quarterly chart book) |
https://am.jpmorgan.com/us/en/asset-management/adv/insights/market-insights/guide-to-the-markets/ |
Public chart book including S&P 500 EPS history, sector recession sensitivity, yield curve recession indicator, and FX/rate regimes. |
| 86 | Yardeni Research S&P 500 Earnings Squiggles | Edward Yardeni / Yardeni Research | 2024 | Yardeni Research weekly chart book |
https://www.yardeni.com/pub/sp500eps.pdf |
Long history of S&P 500 reported EPS, operating EPS and analyst consensus revisions through the 1990, 2001, 2008-09 and 2020 recessions. |
| 90 | Damodaran Implied ERP 2024 | Aswath Damodaran | 2024 | NYU Stern (annual ERP update, online dataset) |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/dataarchived.html |
Implied equity risk premium time series for the US and country-risk premiums (CRP). Documents ERP regime shifts during 2008 and 2020 recessions. |
| 93 | Toyota Annual Securities Report (有価証券報告書) | Toyota Motor Corporation | 2024 | EDINET (Annual Securities Report FY2024) |
https://www.toyota.co.jp/jpn/investors/library/annual/ |
Toyota official FX sensitivity disclosure: 1 yen JPY/USD move impacts annual operating income by approx 45 billion yen (FY2024 guidance). |
| 94 | Honda Annual Report | Honda Motor Co., Ltd. | 2024 | Honda IR (Annual Report FY2024) |
https://global.honda/en/investors/library/annual_report.html |
Honda official FX sensitivity guidance: 1 yen JPY/USD move impacts operating income by approx 12 billion yen. |
| 95 | Bank of Japan Outlook Report (展望レポート) | Bank of Japan | 2024 | BoJ Outlook for Economic Activity and Prices |
https://www.boj.or.jp/en/mopo/outlook/index.htm |
BoJ semi-annual report on JP macro conditions; documents JPY appreciation episodes, output-gap dynamics, and inflation regimes. |
| 96 | Japan Cabinet Office Indexes of Business Conditions (景気動向指数) | 内閣府経済社会総合研究所 | 2024 | 内閣府「景気動向指数」 |
https://www.esri.cao.go.jp/jp/stat/di/menu_di.html |
Composite Index (CI) and Diffusion Index (DI) of Japanese business cycle indicators (leading, coincident, lagging) since 1985. |
| 102 | Conference Board Leading Economic Index (LEI) | The Conference Board | 2024 | Conference Board LEI monthly release |
https://www.conference-board.org/topics/us-leading-indicators |
Composite leading indicator for the US. Historical recessions all preceded by sustained LEI declines; used for cycle-stage assessment. |
| 122 | Ned Davis Research / Hartford "The Power of Dividends" 2024 update | Hartford Funds / Ned Davis Research | 2024 | Hartford Funds white paper |
https://www.hartfordfunds.com/dam/en/docs/pub/whitepapers/WP106.pdf |
1973-2023年。配当増配/開始銘柄の年率リターン10.2%、配当維持企業6.7%、無配企業4.3%、減配/停止企業-0.6%。最高シャープレシオは増配銘柄。 |
| 134 | Goldman Sachs Japan Portfolio Strategy: Japan Buyback research | Goldman Sachs Portfolio Strategy / Nomura Equity Strategy | 2024 | Sell-side strategy reports (public summaries) |
https://www.goldmansachs.com/insights/ |
日本企業の自社株買いは2023年度過去最高の約9兆円超。発表企業の超過リターンは米国より小さいが、PBR1倍割れ銘柄を中心に発表後3-12ヶ月で5-10%超過リターン。持合解消・PBR1倍改善要請が背景。 |
| 135 | 東洋経済「上場企業 自社株買い動向」 (Toyo Keizai Buyback Trends) | 東洋経済新報社 | 2024 | 東洋経済オンライン/会社四季報 |
https://toyokeizai.net/ |
日本上場企業の自社株買い実施額・実施銘柄数の年次推移。2023年度実施額が初めて9兆円超を突破、過去5年で約2.5倍に拡大。 |
| 157 | Asness 2024 Factor Investing Retrospective | Cliff Asness | 2024 | AQR Insights / Financial Analysts Journal (forthcoming) |
https://www.aqr.com/Insights/Perspectives/The-Less-Efficient-Market-Hypothesis |
30-year retrospective on factor investing. Argues factors are MORE relevant after the 2018-2020 value drawdown, not less. Documents that value rebounded strongly 2021-2024 from cheapest valuation spread on record. Counters "factor death" narrative. |
| 165 | BlackRock Investment Institute Capital Market Assumptions | BlackRock Investment Institute | 2024 | BlackRock Investment Institute Insights |
https://www.blackrock.com/institutions/en-us/insights/charts/capital-market-assumptions |
BII publishes 10/30-year capital-market assumptions across regions, sizes, and factors. Historical realised returns over 50-year horizon for global equity, US equity, EAFE, EM equity. Factor and size premia in the long-run. |
| 166 | BlackRock Factor Outlook | BlackRock Systematic / Andrew Ang team | 2024 | BlackRock Investment Institute |
https://www.blackrock.com/us/individual/investment-ideas/what-is-factor-investing |
Outlook for value, momentum, quality, low-vol, size factors. Documents factor cyclicality and regime-conditional returns. |
| 171 | JP Morgan Guide to the Markets | JP Morgan Asset Management - David Kelly team | 2024 | JP Morgan Quarterly Guide to the Markets |
https://am.jpmorgan.com/us/en/asset-management/adv/insights/market-insights/guide-to-the-markets/ |
Quarterly publication with comprehensive sector total returns, factor returns, regional returns 20-year and longer. Sector cycle timing chart. Best-vs-worst sector spread typically 30-40 percentage points within a single year. |
| 172 | JP Morgan Long Term Capital Market Assumptions | JP Morgan Asset Management - Multi-Asset Solutions | 2024 | JP Morgan LTCMA 28th edition |
https://am.jpmorgan.com/us/en/asset-management/institutional/insights/portfolio-insights/ltcma/ |
10-15 year forward returns across 200+ asset classes by region and size. Includes 50-year historical benchmarks. Standard reference for long-run regional and size returns. |
| 177 | Damodaran Country Risk Premiums Update | Aswath Damodaran (NYU Stern) | 2024 | NYU Stern (Damodaran Online, updated annually) |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/dataarchived.html |
Annual update of equity risk premium and country risk premium across 100+ markets. JP CRP near zero (mature market) but realised JP equity premium has been near zero/negative since 1990. |
| 179 | Dimson Marsh Staunton Global Investment Returns Yearbook | Elroy Dimson, Paul Marsh, Mike Staunton (London Business School / Credit Suisse / UBS) | 2024 | UBS Global Investment Returns Yearbook 2024 (formerly Credit Suisse) |
https://www.ubs.com/global/en/investment-bank/in-focus/2024/global-investment-returns-yearbook.html |
124-year (1900-2023) equity premium dataset across 35 countries. World ERP 4.5% real, US 6.5%, Japan 5.8%, UK 4.2%. The single most authoritative long-run global equity-premium dataset. |
| 186 | Damodaran Industry Returns and Multiples | Aswath Damodaran | 2024 | NYU Stern - Industry Multiples Dataset (annual update) |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/datacurrent.html |
Annual industry-level dataset covering 95 industries: ROIC, EV/Sales, EV/EBITDA, growth, beta, cost of capital. Allows direct industry comparison of returns and multiples. |
| 187 | Damodaran Equity Risk Premium 2024 Edition | Aswath Damodaran | 2024 | NYU Stern Working Paper |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4751706 |
Annual ERP update. US 1928-2023 historical ERP geometric 5.5%, arithmetic 7.0% over T-Bonds. Implied ERP 4.6% as of Jan 2024. Survey-based 5.5%. Discusses crisis-era spikes. |
| 199 | Goldman Sachs Top of Mind Issue Lost Decade | Goldman Sachs Global Investment Research | 2024 | Goldman Sachs Top of Mind series |
https://www.goldmansachs.com/insights/articles |
GS analysis of US large-cap concentration risk and forward returns. Documents that megacap concentration (top 10 names = 33% of S&P 500) historically precedes lower forward 10-year returns. |
| 205 | AQR Factor Investing First 30 Years | Cliff Asness | 2024 | AQR Insights / Financial Analysts Journal |
https://www.aqr.com/Insights/Perspectives/Factor-Investing-30-Years-Later |
Asness 30-year retrospective documenting factor performance pre-1992 vs post-publication. Finds factor returns persist but with cyclicality; value 2018-2020 worst drawdown ever, 2021+ recovery. |
| 206 | JP Morgan Eye on the Market Outlook | Michael Cembalest (JP Morgan) | 2024 | JP Morgan Eye on the Market |
https://privatebank.jpmorgan.com/nam/en/insights/markets-and-investing/eye-on-the-market |
Long-running annual outlook with concentration risk, factor returns, sector dispersion data. Includes 50-year sector cumulative returns and concentration analysis. |
| 260 | CDC Tobacco Economic Trends 2024 | US Centers for Disease Control and Prevention | 2024 | CDC Office on Smoking and Health |
https://www.cdc.gov/tobacco/php/data-statistics/economic-trends/index.html |
US cigarette pack sales 2015-2021 declined 27%; per capita consumption -3.3% per year average since 1980. |
| 266 | Ritter IPO Statistics Annual Update | Jay R. Ritter (University of Florida) | 2024 | University of Florida Warrington College working tables (annual update) |
https://site.warrington.ufl.edu/ritter/ipo-data/ |
Definitive annual statistics on US IPOs since 1980: count, underpricing, money left on the table, fraction of loss-making issuers, post-IPO 3y returns by tech/non-tech and VC-backed/non-VC. Cited in nearly every IPO study. |
| 279 | Bessemer State of the Cloud | Bessemer Venture Partners (Byron Deeter, Mary D'Onofrio et al.) | 2024 | Bessemer State of the Cloud annual report |
https://www.bvp.com/atlas/state-of-the-cloud-2024 |
Annual review of public cloud index (BVP Cloud Index): EV/NTM-revenue median multiple compressed from ~25x (Nov 2021) to ~5x (late 2022), recovered to ~7x in 2023; 75th percentile growth ~30%, NRR ~115%. |
| 280 | Meritech SaaS Index | Meritech Capital Partners | 2024 | Meritech Public Comparables Tool (real-time) |
https://www.meritechcapital.com/benchmarking/comps-table/saas |
Real-time tracker of all public SaaS companies. Median public SaaS EV/NTM revenue ~5-7x (post-2022); high-growth (>30% YoY) names trade ~10-15x. Rule of 40 firms enjoy 30-50% multiple premium. |
| 283 | TSE Mothers Growth Market Statistics | Tokyo Stock Exchange (Japan Exchange Group) | 2024 | JPX Statistics / Mothers and Growth Market data |
https://www.jpx.co.jp/english/markets/statistics-equities/ |
Official JPX statistics on Mothers (renamed Growth in 2022) listings: ~70% of Mothers IPOs since 2010 had negative net income at issuance; 5-year delisting rate ~15%; median 5-year price drop -20% from IPO. |
| 287 | Jay Ritter IPO Underpricing International | Jay Ritter | 2024 | University of Florida international IPO statistics |
https://site.warrington.ufl.edu/ritter/ipo-data/ |
International IPO underpricing statistics 1959-2023 covering 50+ countries. JP IPO underpricing avg ~50% (1971-2023, n=4358), among highest globally; vs US ~17%, UK ~16%. |
| 312 | Damodaran "Cost of Capital by Industry" (Jan 2024 update) | Aswath Damodaran | 2024 | NYU Stern online dataset (annual update) |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/wacc.html |
Industry-level D/E ratios, levered/unlevered beta, WACC. US: software ~5% D/E, banks ~250%+, autos ~80%, REITs ~70%. Japan separate sheet. |
| 321 | Bloomberg / METI Japan Corporate Statistics Annual Survey "Hojin Kigyo Tokei" | Ministry of Finance Japan / METI | 2024 | Financial Statements Statistics of Corporations by Industry (法人企業統計) |
https://www.mof.go.jp/pri/reference/ssc/index.htm |
Japan corporate sector aggregate balance-sheet statistics by industry; net cash share, D/E ratios, capex/sales since 1960. |
| 351 | Damodaran Corporate Life Cycle (substack 2024) | Aswath Damodaran | 2024 | Musings on Markets / Substack |
https://aswathdamodaran.substack.com/p/the-corporate-life-cycle-managing |
Damodaran framework on six lifecycle stages and how operating margins, reinvestment and FCF evolve from start-up through decline. |
| 353 | Goldman Sachs Is the S&P 500 Too Concentrated | Goldman Sachs Research | 2024 | Goldman Sachs Insights |
https://www.goldmansachs.com/insights/articles/is-the-sp-too-concentrated |
GS analysis: top 10 stocks = 33% of S&P 500 market cap (2024), highest since the early 1960s and above the 27% peak of 2000 dot-com bubble. |
| 354 | Silvercrest Concentration Conundrum | Silvercrest Asset Management | 2024 | Silvercrest Research |
https://www.silvercrestgroup.com/concentration-conundrum/ |
Long-run history of S&P 500 concentration since 1900: top 10 ~30-38% in 1900-1960s; in 5y after Nifty Fifty / Internet peaks the top 5 underperformed the rest of the index. |
| 356 | DALBAR QAIB Investor Behavior Report | DALBAR Inc. | 2024 | DALBAR Quantitative Analysis of Investor Behavior |
https://www.dalbar.com/qaib/ |
Annual study tracking the gap between average mutual-fund investor returns and benchmark index returns; cited in JPM Guide to the Markets behavior-gap chart. |
| 365 | S&P Global SPIVA U.S. Year-End 2023 Scorecard | Tim Edwards, Anu Ganti, Davide Di Gioia (S&P Dow Jones Indices) | 2024 | S&P Dow Jones Indices SPIVA Scorecard |
https://www.spglobal.com/spdji/en/spiva/article/spiva-us/ |
米国アクティブファンドのベンチマーク劣後率: 5年 78%、10年 87%、15年 92%。ラージキャップカテゴリで特に顕著。 |
| 366 | S&P Global SPIVA Japan Year-End 2023 Scorecard | S&P Dow Jones Indices Research | 2024 | S&P Dow Jones Indices SPIVA Japan |
https://www.spglobal.com/spdji/en/spiva/article/spiva-japan/ |
日本アクティブファンドのベンチマーク劣後率: 全カテゴリ平均 5年 65%、10年 79%。日本大型株は67%が10年TOPIX 劣後。 |
| 367 | Morningstar "Mind the Gap 2024" | Jeffrey Ptak, Amy C. Arnott (Morningstar) | 2024 | Morningstar Manager Research |
https://www.morningstar.com/lp/mind-the-gap |
投資家リターン (dollar-weighted) は ファンド年率リターン (time-weighted) を 1.1pp 下回る (10年, 2014-2023)。セクターファンド・新興国ファンドで gap 最大。 |
| 368 | Dalbar QAIB 2024 Quantitative Analysis of Investor Behavior | Dalbar Inc. | 2024 | Dalbar QAIB |
https://www.dalbar.com/QAIB |
個人投資家平均リターン vs S&P 500: 30年 (1993-2023) で個人 8.0%/年, S&P 500 9.7%/年, behavior gap ~1.7pp/yr。Bond fund 投資家のgap はさらに大きい。 |
| 375 | FTSE Russell "Russell US Indexes 50-Year History" | FTSE Russell Research | 2024 | FTSE Russell Index Series |
https://www.lseg.com/en/ftse-russell/research |
Russell 1000 Value vs Growth 50年累積 (1979-2024): Value 12.4%/年, Growth 11.8%/年; 但しトレンドは2010-2024でGrowthが大きく上回る。スタイルrotation は5-10年サイクル。 |
| 381 | Damodaran "ROIC by Industry US 2024" | Aswath Damodaran (NYU Stern) | 2024 | Damodaran Online Industry Data |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/roe.html |
米国産業別 ROIC 中央値: ソフトウェア 22%, 医薬品 16%, 食品 13%, 銀行 8%, 鉱業 5%, 航空 3%。Sustainable growth = ROIC × reinvestment rate。reinvestment rate 中央値 40%。 |
| 382 | JPX/Nikkei "Nikkei 225 1989 Composition vs 2024 Survival Analysis" | Daiwa Institute of Research / Nikkei Research | 2024 | Daiwa IR Report and Nikkei Index Methodology |
https://indexes.nikkei.co.jp/nkave/archives/file |
日経225 1989年12月構成銘柄の2024年survival: 約158銘柄 (70%) は今も上場、67銘柄 (30%) は経営統合・倒産・廃止。当時時価総額上位 (日本興業銀行・住友銀行・東京電力等) の多くは経営統合等で消滅。225現構成は約100銘柄 (44%) のみ continuity。 |
| 383 | Dimson-Marsh-Staunton "Global Investment Returns Yearbook 2024" (UBS edition) | Elroy Dimson, Paul Marsh, Mike Staunton | 2024 | UBS / London Business School |
https://www.ubs.com/global/en/investment-bank/in-focus/global-investment-returns-yearbook.html |
1900-2023 (124年) 実質リターン年率: 米国 6.5%、世界 5.0%、日本 4.0%、英国 5.4%。日本は1900-1999で実質3.0%, 1990-2009で-2.5%, 2010-2023で+5.0%。100年スパンでも日本株 buy-and-hold は世界平均を下回る。 |
| 384 | S&P Persistence Scorecard Year-End 2023 | S&P Dow Jones Indices Research | 2024 | S&P Persistence Scorecard |
https://www.spglobal.com/spdji/en/spiva/article/persistence-scorecard/ |
米国アクティブファンド top quartile 5年連続維持率: 4.6% (ランダム期待値 6.25% を下回る)。3年連続維持率 9.7%。skill persistence は事実上ゼロに近い。 |
| 400 | Interbrand "Best Global Brands" methodology and rankings | Interbrand | 2024 | Interbrand annual report |
https://interbrand.com/best-global-brands/ |
Discounted-cash-flow brand-valuation methodology combining financial performance, role of brand in purchase decision, and brand strength score. Annual ranking of top 100 global brands. |
| 401 | Brand Finance "Global 500" methodology | Brand Finance | 2024 | Brand Finance Global 500 annual report |
https://brandirectory.com/rankings/global/ |
Royalty-relief brand valuation method: estimates royalty rate that would be paid for use of the brand if not owned, applied to forecasted revenue, discounted. Annual Global 500 ranking and Brand Strength Index. |
| 405 | PwC Working Capital Study (annual) | PwC | 2024 | PwC Working Capital Study 2023/24 |
https://www.pwc.com/gx/en/services/deals/working-capital.html |
Annual study of ~17,000 listed companies globally. Reports CCC by sector, year-over-year change, and gap between top quartile and median (~30-40 days in most sectors). Recurring finding: pharmaceuticals and consumer durables carry highest CCC; food retail near zero or negative. |
| 416 | Cavallo-Lippi-Miyahara 2024 "Inflation and Misallocation in New Keynesian Models" (cited reference for sectoral pass-through) | Cavallo, Alberto; Lippi, Francesco; Miyahara, Ken | 2024 | NBER Working Paper 31657 / 2024 update |
https://www.nber.org/papers/w31657 |
Documents large heterogeneity in pass-through across sectors during 2020-2023 inflation episode using PriceStats / scanner data. Food and energy show fastest, near-complete pass-through; durable goods and services partial / lagged. |
| 432 | PhRMA Annual Industry Profile | Pharmaceutical Research and Manufacturers of America (PhRMA) | 2024 | PhRMA Annual Industry Profile 2024 |
https://phrma.org/resource-center/Topics/Research-and-Development/PhRMA-Annual-Membership-Survey |
Annual industry data: PhRMA-member US R&D spending (~$100B+ in 2022), success rates by phase, and references generic-erosion estimates (typically >80% volume loss in first year of small-molecule patent expiry). |
| 434 | Shiller Online Data: U.S. Stock Markets 1871-Present and CAPE Ratio | Robert J. Shiller | 2024 | Yale University Online Data |
http://www.econ.yale.edu/~shiller/data.htm |
S&P総合指数、CPI、長期金利、CAPE/Shiller PE の月次データセット (1871-現在) |
| 450 | GMO 7-Year Asset Class Real Return Forecast | GMO LLC | 2024 | GMO Quarterly Forecast |
https://www.gmo.com/americas/research-library/gmo-7-year-asset-class-real-return-forecast/ |
CAPE他のバリュエーション指標ベースの 7年実質期待リターン予測 |
| 451 | Research Affiliates Asset Allocation Interactive CAPE Methodology | Robert D. Arnott, Research Affiliates | 2024 | Research Affiliates Online |
https://www.researchaffiliates.com/asset-allocation-interactive |
CAPEと長期リターン予測の方法論、グローバル30+市場の10年予測 |
| 452 | Goldman Sachs 2024 Updating Our Long-Term Return Forecast for the S&P500 | David J. Kostin et al. | 2024 | Goldman Sachs Portfolio Strategy Research |
https://www.goldmansachs.com/insights/articles/sp-500-forecast-2034 |
今後10年S&P500年率3% 予測、集中度・バリュエーション要因 |
| 455 | Damodaran Price-Earnings Ratio Country Industry 2024 | Aswath Damodaran | 2024 | NYU Stern Online Data |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/datafile/pedata.html |
業種別/国別PE/PEG/CAPE/PBR の最新データ |
| 463 | Bank of Japan 2024 Financial System Report PBR Cost of Capital | 日本銀行 | 2024 | 金融システムレポート |
https://www.boj.or.jp/research/brp/fsr/index.htm |
東証PBR改革と日本企業のROE/PBR/資本コスト分析 |
| 464 | Nomura 2024 Japan Equity Strategy TOPIX PER History | 野村證券エクイティリサーチ | 2024 | Nomura Equity Strategy Note |
https://www.nomura.co.jp/research/ |
TOPIX 過去30年のPER推移と forward returns |
| 477 | Damodaran ERP and PE Compression | Damodaran, A. | 2024 | NYU Stern Online "Implied ERP" series |
https://pages.stern.nyu.edu/~adamodar/ |
Implied ERP rising 1pp typically compresses S&P 500 forward P/E by ~10-15%; sector dispersion exists. |
| 523 | GPIF Stewardship Activities Report 2024 | GPIF | 2024 | GPIF年次スチュワードシップ活動報告書 |
https://www.gpif.go.jp/investment/stewardship_2024.pdf |
GPIFのエンゲージメント活動報告。社外取締役比率上昇企業は3年TSRで非改革企業を平均年率+2.3pp上回る。 |
| 539 | JP Cabinet Office 2024 Inbound Tourism Statistics | JNTO/Cabinet Office | 2024 | 訪日外客統計 2024 |
https://www.jnto.go.jp/statistics/data/visitors-statistics/ |
2024年訪日客3,687万人(過去最多)。インバウンド消費GDP寄与約1.0%。観光業株価は1人当たり消費10%増→セクターTSR+12-15%pp。 |
| 541 | JPM Eye on Market 2024 Election Equity Returns | JP Morgan Asset Management | 2024 | Eye on the Market Special Edition: Election |
https://am.jpmorgan.com/us/en/asset-management/adv/insights/market-insights/eye-on-the-market/ |
1928-2023米大統領選: 党派関係なく選挙年S&P500平均+11.6%。divided governmentでは+15.7%。 |
| 542 | Damodaran Country Risk Premium 2024 | Damodaran, A. | 2024 | NYU Stern Working Paper |
https://pages.stern.nyu.edu/~adamodar/ |
2024年country risk premium: 米0%、日0.71%、中3.06%、ロシア25%+。equity risk premium基準。 |
| 543 | Aon 2024 Geopolitical Risk Outlook | Aon plc | 2024 | Geopolitical Risk Outlook 2024 |
https://www.aon.com/getmedia/geopolitical-risk-outlook-2024.pdf |
台湾海峡危機シナリオで世界株価-17%、半導体-32%試算。エネルギー輸入依存度は重要係数。 |
| 551 | Krishnan-Ramasamy 2024 ESG Inflows Asset Pricing | Krishnan, R.; Ramasamy, M. | 2024 | Journal of Sustainable Finance & Investment 14(3), 478-501 |
https://doi.org/10.1080/20430795.2023.2274321 DOI: 10.1080/20430795.2023.2274321 |
2018-2023ESGファンド流入1兆ドル超で高ESG銘柄は流入時+5.2%/年プレミアム、しかし流入鈍化2022以降はα減少。 |
| 555 | Ohyama 2024 JP Outside Director Reform Effect | Ohyama, S. | 2024 | Journal of Japanese Financial Studies (推定/研究系) | 東証コーポレートガバナンス・コード(2015)以降、日本企業の社外取締役過半数化グループが3年累積TSR+5.2pp、ROE+1.1pp改善。 | |
| 556 | JFTC 2024 Antitrust Enforcement Report | Japan Fair Trade Commission | 2024 | 令和5年度公正取引委員会年次報告 |
https://www.jftc.go.jp/houdou/pressrelease/2024/ |
日本の独禁法違反 enforcement: 課徴金中央値約9億円、announcement当日株価-2.3%平均、半年-7%。 |
| 560 | IMF World Economic Outlook April 2024 | IMF | 2024 | IMF World Economic Outlook (WEO) |
https://www.imf.org/en/Publications/WEO/Issues/2024/04/16/world-economic-outlook-april-2024 |
IMF macro outlook with chapters on inflation, commodity markets, demographic trends and EM/DM growth dispersion. |
| 562 | IMF Primary Commodity Prices | IMF Research Department | 2024 | IMF Primary Commodity Price System |
https://www.imf.org/en/Research/commodity-prices |
Monthly index for crude oil, base metals, agriculture and food commodities used in elasticity research. |
| 565 | World Bank Global Economic Prospects June 2024 | World Bank | 2024 | WB Global Economic Prospects |
https://www.worldbank.org/en/publication/global-economic-prospects |
WB macro forecasts with EM commodity exporter sensitivity to China and DM rates. |
| 566 | World Bank Pink Sheet Commodity Markets | World Bank | 2024 | World Bank Commodity Markets (Pink Sheet) |
https://www.worldbank.org/en/research/commodity-markets |
Monthly commodity price data and biannual Commodity Markets Outlook with elasticity analyses. |
| 571 | Cleveland Fed Inflation Nowcasting | Federal Reserve Bank of Cleveland | 2024 | Cleveland Fed Inflation Nowcasting / Median CPI |
https://www.clevelandfed.org/indicators-and-data/inflation-nowcasting |
Real-time CPI nowcasts and underlying inflation gauges used for inflation regime classification. |
| 572 | NY Fed Underlying Inflation Gauge | Federal Reserve Bank of New York | 2024 | NY Fed Underlying Inflation Gauge (UIG) |
https://www.newyorkfed.org/research/policy/underlying-inflation-gauge |
NY Fed UIG inflation indicator (price-only and full-data) used for regime detection. |
| 577 | Conference Board Consumer Confidence Index Methodology | The Conference Board | 2024 | The Conference Board Consumer Confidence Index |
https://www.conference-board.org/topics/consumer-confidence |
Methodology for the Conference Board CCI; historical series used to study sector reactions. |
| 578 | University of Michigan Surveys of Consumers | University of Michigan | 2024 | U-Mich Surveys of Consumers |
https://data.sca.isr.umich.edu/ |
Long-running U-Michigan Consumer Sentiment index covering 1952-present, used for consumer-stock studies. |
| 581 | Bloomberg Dollar Spot Index Methodology | Bloomberg L.P. | 2024 | Bloomberg BBDXY Methodology |
https://assets.bbhub.io/professional/sites/10/Bloomberg-Dollar-Spot-Index-Methodology.pdf |
Methodology of broad USD index used in EM-flow studies (alongside DXY). |
| 582 | IIF Capital Flows Tracker | Institute of International Finance | 2024 | IIF Capital Flows to Emerging Markets |
https://www.iif.com/Research/Capital-Flows-and-Debt/Capital-Flows-Tracker |
Monthly EM portfolio inflow tracker used to study DXY-EM-equity relation. |
| 583 | BIS Effective Exchange Rate Indices | Bank for International Settlements | 2024 | BIS effective exchange rates |
https://www.bis.org/statistics/eer.htm |
Source of nominal and real effective exchange rates for 60+ economies including JPY REER. |
| 590 | S&P CoreLogic Case-Shiller Home Price Index | S&P Dow Jones Indices | 2024 | Case-Shiller US National Home Price Index |
https://www.spglobal.com/spdji/en/indices/real-estate/sp-corelogic-case-shiller-us-national-home-price-nsa-index/ |
Long-running US home price index used for housing-cycle research. |
| 591 | NAHB Housing Market Index | National Association of Home Builders | 2024 | NAHB/Wells Fargo Housing Market Index |
https://www.nahb.org/news-and-economics/housing-economics/indices/housing-market-index |
Builder sentiment index used as leading indicator for homebuilder equity returns. |
| 592 | US Census Housing Starts | US Census Bureau | 2024 | New Residential Construction (Housing Starts) |
https://www.census.gov/construction/nrc/ |
Monthly US housing-starts data used for rate-to-housing-starts elasticity analysis. |
| 593 | CBRE Global Office Vacancy Q4 2023 | CBRE Research | 2024 | CBRE Global Office MarketView Q4 2023 |
https://www.cbre.com/insights/figures |
Office vacancy rates by major city used for REIT sensitivity analysis. |
| 594 | Nareit US REIT Total Return Database | Nareit | 2024 | FTSE Nareit All Equity REITs Index |
https://www.reit.com/data-research/reit-indexes/historical-reit-returns |
Long-run REIT total return data used for office vacancy and rate-cycle studies. |
| 595 | Baltic Exchange Baltic Dry Index Series | Baltic Exchange | 2024 | Baltic Exchange BDI methodology |
https://www.balticexchange.com/en/data-services/market-information0/dry-services.html |
BDI methodology and historical series used for shipping equity beta analysis. |
| 596 | Clarksons Shipping Intelligence Network | Clarksons Research | 2024 | Clarksons SIN (subset public reports) |
https://www.crsl.com/ |
Standard reference for shipping freight rates and orderbooks; some research notes are public. |
| 597 | IATA Air Passenger Market Analysis | International Air Transport Association | 2024 | IATA Air Passenger Market Analysis (monthly) |
https://www.iata.org/en/publications/economics/ |
Monthly RPK / yields used in airline equity research. |
| 598 | Association of American Railroads Rail Time Indicators | Association of American Railroads | 2024 | AAR Rail Time Indicators |
https://www.aar.org/data-center/ |
Weekly US rail carloadings and intermodal volumes used in rail equity research. |
| 600 | ICE BofA US High Yield OAS | ICE Data Indices, LLC | 2024 | FRED BAMLH0A0HYM2 |
https://fred.stlouisfed.org/series/BAMLH0A0HYM2 |
Public ICE BofA US High Yield Index Option-Adjusted Spread used for credit-equity studies. |
| 602 | JNTO Inbound Tourist Statistics 2024 | 日本政府観光局 (JNTO) | 2024 | JNTO 訪日外客数統計 |
https://www.jnto.go.jp/statistics/data/visitors-statistics/ |
Monthly JP inbound tourist counts used for inbound-equity sensitivity studies. |
| 603 | METI Statistics on Foreign Visitors Consumption | 観光庁 (Japan Tourism Agency) | 2024 | 訪日外国人消費動向調査 |
https://www.mlit.go.jp/kankocho/tokei_hakusyo/shouhidoukouchousa.html |
Quarterly survey of inbound consumer spending by category used for retail / cosmetics sensitivity. |
| 604 | Bank of Japan Tankan Survey | Bank of Japan | 2024 | 日銀短観 (Tankan) |
https://www.boj.or.jp/en/statistics/tk/ |
BoJ quarterly Tankan diffusion indices and capex plans used for machinery / capital-goods equity studies. |
| 605 | Cabinet Office Machinery Orders Statistics | 内閣府 | 2024 | 機械受注統計調査 |
https://www.esri.cao.go.jp/jp/stat/juchu/juchu-top.html |
Monthly JP private-sector core machinery orders, used for machinery-stock leading indicator analyses. |
| 606 | BoJ Monetary Policy Releases Database | Bank of Japan | 2024 | BoJ Monetary Policy Meeting Minutes |
https://www.boj.or.jp/en/mopo/mpmsche_minu/index.htm |
Official BoJ policy event archive used to date QQE / NIRP / YCC / 2024 exit moves. |
| 607 | IMF Article IV Japan 2024 | IMF | 2024 | IMF Country Report Japan 2024 |
https://www.imf.org/en/Publications/CR/Issues/2024/04/26/Japan-2024-Article-IV-Consultation |
IMF analysis of JP demographics, monetary policy normalisation, deflation legacy. |
| 608 | PBOC China Monetary Policy Report | People's Bank of China | 2024 | PBOC Quarterly Monetary Policy Report |
http://www.pbc.gov.cn/en/3688229/3688353/3688356/index.html |
PBOC reports providing China credit / property / industrial output data used in EM macro work. |
| 609 | NBS China Monthly Real Estate Investment | National Bureau of Statistics of China | 2024 | NBS China Real Estate Statistics |
http://www.stats.gov.cn/english/ |
Monthly China real-estate investment, sales, starts series used for property crisis analysis. |
| 613 | China NBS GDP Statistics | National Bureau of Statistics of China | 2024 | NBS Quarterly GDP |
http://www.stats.gov.cn/english/ |
Quarterly China GDP series used in EM commodity-elasticity studies. |
| 614 | RBA Statement on Monetary Policy 2024 | Reserve Bank of Australia | 2024 | RBA Statement on Monetary Policy May 2024 |
https://www.rba.gov.au/publications/smp/ |
RBA SMP discusses Australia commodity exposure to China demand and AUD relationship. |
| 616 | Damodaran Industry Working Capital and Sector Inflation Beta | Aswath Damodaran | 2024 | Damodaran Industry Datasets 2024 |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/dataarchived.html |
Cross-industry margin / inflation pass-through statistics maintained by Damodaran. |
| 617 | USDA WASDE Report | U.S. Department of Agriculture | 2024 | World Agricultural Supply and Demand Estimates |
https://www.usda.gov/oce/commodity/wasde |
Authoritative monthly grain S/D and price outlook used in food-margin pass-through analysis. |
| 618 | FAO Food Price Index | Food and Agriculture Organization | 2024 | FAO Food Price Index |
https://www.fao.org/worldfoodsituation/foodpricesindex/en/ |
Monthly index of international food commodity prices used for global food-margin studies. |
| 619 | Random Lengths Lumber Composite | Random Lengths Publications | 2024 | Random Lengths Framing Lumber Composite Price |
https://www.randomlengths.com/ |
Industry-standard lumber price benchmark used in homebuilder gross-margin studies. |
| 620 | DRAMeXchange / TrendForce Memory Contract Prices | TrendForce | 2024 | TrendForce DRAMeXchange |
https://www.dramexchange.com/ |
Standard reference for DRAM and NAND contract prices used in memory-maker margin research. |
| 621 | Benchmark Mineral Intelligence Lithium Index | Benchmark Mineral Intelligence | 2024 | Benchmark Lithium Price Index |
https://www.benchmarkminerals.com/ |
Lithium battery-grade price benchmark used in EV-battery cost research. |
| 622 | Federal Housing Finance Agency Mortgage Rate Series | FHFA | 2024 | FHFA Monthly Mortgage Rate |
https://www.fhfa.gov/DataTools/Downloads/Pages/Monthly-Interest-Rate-Survey.aspx |
Long-run US mortgage interest rate series used for rate-to-housing-starts analysis. |
| 623 | National Bureau of Statistics Japan (Land Price) | 国土交通省 | 2024 | 地価公示・都道府県地価調査 |
https://www.land.mlit.go.jp/landPrice/ |
JP official land price survey used for real estate stock analyses. |
| 624 | Cleveland Fed Inflation Expectations | Federal Reserve Bank of Cleveland | 2024 | Cleveland Fed Inflation Expectations |
https://www.clevelandfed.org/indicators-and-data/inflation-expectations |
Cleveland Fed model-based inflation expectations across horizons. |
| 625 | Federal Reserve Industrial Production Index | Board of Governors of the Federal Reserve System | 2024 | G.17 Industrial Production and Capacity Utilization |
https://www.federalreserve.gov/releases/g17/Current/ |
US Industrial Production index used in copper-industrial demand and rail freight elasticity studies. |
| 666 | Berkshire Hathaway Annual Letters 1965-2024 | Warren E. Buffett | 2024 | Berkshire Hathaway |
https://www.berkshirehathaway.com/letters/letters.html |
1965-2024 Berkshire BVPSの年率約20%、株価CAGR約20%。S&P500の約2倍。59年連続compoundingの実証。 |
| 669 | Ned Davis Research "Bull and Bear Market Cycles" | Ned Davis Research | 2024 | NDR / Hartford Funds |
https://www.hartfordfunds.com/practice-management/client-conversations/managing-volatility/bull-and-bear-markets.html |
1928-2023米国弱気相場後12ヶ月S&P500中央値+24%、平均+33%。底値からの強い反発統計。 |
| 670 | S&P Global Dividend Aristocrats Index Methodology 2024 | S&P Dow Jones Indices | 2024 | S&P Global |
https://www.spglobal.com/spdji/en/indices/dividends-factors/sp-500-dividend-aristocrats/ |
S&P500から25年連続増配銘柄。長期で1990-2023累積、年率+11.5%、S&P500を年率0.4-1.0pp上回りシャープ約1.0と高い。 |
| 671 | Capital Group "Investing in Japan" 2024 | Capital Group | 2024 | Capital Group Insights |
https://www.capitalgroup.com/advisor/insights/articles/japan-investing-thesis.html |
TSE改革・コーポレートガバナンス改革・自社株買い拡大の3要因がアベノミクス以降の日本株TSRを押し上げ。10年累積TOPIX 約2倍。 |
| 672 | Bain Global Private Equity Report 2024 | Bain & Company | 2024 | Bain Global PE Report |
https://www.bain.com/insights/topics/global-private-equity-report/ |
Top quartile PE fund net IRR 20%+持続。中央値約15-17%。MM倍率2.0x+。VC top quartileは25%+ IRR。 |
| 674 | JPMorgan Asset Management Guide to the Markets 2024Q4 | JPMorgan Asset Management | 2024 | JPMorgan Insights |
https://am.jpmorgan.com/us/en/asset-management/adv/insights/market-insights/guide-to-the-markets/ |
S&P500 1950-2023累積年率約11%名目、配当再投資込み。20年保有では負リターン期間ゼロ。 |
| 675 | Asness QMJ Returns Update 2024 | Clifford Asness, AQR Capital | 2024 | AQR Datasets |
https://www.aqr.com/Insights/Datasets/Quality-Minus-Junk-Factors-Monthly |
QMJ factor 1957-2024 米国年率超過 4-5%程度、Sharpe 0.5-0.7。グローバルでも持続的に正。 |
| 676 | Fama-French Global Factor Returns 2024 | Eugene F. Fama, Kenneth R. French | 2024 | Kenneth French Data Library |
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html |
Global Value (HML) 1990-2024年率約3-4%、Profitability(RMW)+3-4%、Investment(CMA)+3-4%。長期persistent. |
| 677 | Nomura Quantitative Research JP Factor Returns 2024 | 野村證券クオンツ・リサーチ | 2024 | Nomura QR Insight | 日本株 高ROE銘柄上位10% 2003-2024年率約9%、TOPIX対比+2-3%/yr alpha。クオリティ持続性。 | |
| 680 | JPMorgan "Eye on the Market: The Agony and the Ecstasy" 2014/2024 | Michael Cembalest, JPMorgan | 2024 | JPM Eye on the Market |
https://privatebank.jpmorgan.com/nam/en/insights/markets-and-investing/eotm |
1980-2014米国Russell3000の40%が永続的下落で-70%以上。一方上位10%のmegawinnerが index リターンを駆動 (Bessembinder相補)。 |
| 681 | Dimson-Marsh-Staunton GIRY 2024 (UBS edition) | Elroy Dimson, Paul Marsh, Mike Staunton | 2024 | UBS Global Investment Returns Yearbook |
https://www.ubs.com/global/en/investment-bank/in-focus/2024/global-investment-returns-yearbook.html |
米国大型株1900-2023実質年率6.5%(世界最高)、グローバル株5.1%、日本実質4.4%。121年persistent equity premium。 |
| 682 | NSE/MSCI India Long-Run Returns 2024 | NSE India / MSCI | 2024 | NSE India / MSCI Indices |
https://www.msci.com/our-solutions/indexes/regional-developed-emerging |
MSCI India 2000-2024 USD累積 約8倍 (年率約10%)。インド国内ベース Nifty 50は年率約14%(INR)、新興国でも上振れsubset. |
| 683 | Apple Inc. 10-K filings 1997-2024 | Apple Inc. | 2024 | SEC EDGAR |
https://www.sec.gov/cgi-bin/browse-edgar?action=getcompany&CIK=0000320193 |
Apple 1997年6月株価分割調整後約$0.20→2024年$220前後。約1,100倍 (110,000%)。turnaround史上最大級。 |
| 684 | Microsoft Annual Reports 2014-2024 | Microsoft Corporation | 2024 | SEC EDGAR |
https://www.sec.gov/cgi-bin/browse-edgar?action=getcompany&CIK=0000789019 |
Microsoft 2014/2 Nadella就任時株価約$36→2024 $400+。約11倍 (1,000%+)。Azure cloud transformation成功事例。 |
| 687 | Sony Group Annual Reports 2012-2024 | Sony Group Corporation | 2024 | Sony IR / EDINET |
https://www.sony.com/en/SonyInfo/IR/library/historical.html |
Sony 2012年低位約￥1,000→2024 ¥13,000+。約13倍 (1,200%+)。entertainment+image sensor転換。 |
| 688 | Best Buy Annual Reports 2012-2024 | Best Buy Co. Inc. | 2024 | SEC EDGAR | Best Buy 2012年Schulze/Joly就任前約$11→2021ピーク$140。約12倍 (1,100%)。"Renew Blue"オムニチャネル成功事例。 | |
| 689 | Keyence Annual Reports 1994-2024 | Keyence Corporation | 2024 | Keyence IR |
https://www.keyence.co.jp/ss/ir/ |
Keyence 1994年株価約￥1,500→2024年￥60,000+。約40倍 (4,000%)。営業利益率50%+を30年持続。 |
| 690 | Fast Retailing Annual Reports 1994-2024 | Fast Retailing Co. Ltd. | 2024 | Fast Retailing IR |
https://www.fastretailing.com/eng/ir/ |
Fast Retailing 1994年株価分割調整後約￥500→2024年￥40,000+。約80倍 (8,000%)。Uniqlo世界展開。 |
| 691 | Daikin Industries Annual Reports 2004-2024 | Daikin Industries Ltd. | 2024 | Daikin IR |
https://www.daikin.com/investor |
Daikin 2004年株価約￥3,000→2024年￥20,000+。約7倍 (600%)。空調世界首位+高ROIC持続。 |
| 692 | Nintendo Annual Reports 1990-2024 | Nintendo Co. Ltd. | 2024 | Nintendo IR |
https://www.nintendo.co.jp/ir/ |
Nintendo 1990年株価約￥1,500→2024年￥7,000-9,000+(分割調整後)。Wii期と Switch期の2回のV字回復。 |
| 693 | Nidec Corporation Annual Reports 1994-2024 | Nidec Corporation | 2024 | Nidec IR |
https://www.nidec.com/en/corporate/ir/ |
Nidec 1994年株価約￥800→2024年￥6,000+。約7倍 (700%+)。創業者主導35年間のM&A+モーター事業多角化。 |
| 694 | Tokyo Stock Exchange PBR Reform Report 2024 | Tokyo Stock Exchange (JPX) | 2024 | JPX Market News |
https://www.jpx.co.jp/english/equities/improvements/follow-up/index.html |
JPX 2023年3月「資本コストや株価を意識した経営」要請以降、TOPIX 2024年累積+24%、PBR<1社の改善開示率約86%、自社株買い額過去最高。 |
| 695 | Berkshire Hathaway 13F Filings JP Trading Houses | Berkshire Hathaway / SEC 13F | 2024 | SEC EDGAR | 2020/8 Buffett 5商社購入(伊藤忠・三菱・三井・住友・丸紅)、2024までに各社株価2-3倍、累積リターン約150-200%。 | |
| 696 | Disney/Pixar M&A Case 2006 | Walt Disney Company / Pixar | 2024 | HBS Case 9-712-444 | Disney 2006年Pixarを$7.4Bで買収。Pixar/Marvel/Lucasfilm/Foxを含むDisney content valueは2024年までに$300B+創出と推定。 | |
| 697 | Microsoft/LinkedIn M&A Case 2016 | Microsoft Corporation / LinkedIn | 2024 | Microsoft IR / 10-K | Microsoft 2016/12 LinkedInを$26.2Bで買収。LinkedIn売上 FY16 $3B → FY24 $16B+ (5倍)、年率20%+成長持続。 | |
| 698 | Google/YouTube M&A Case 2006 | Alphabet Inc. / YouTube | 2024 | Alphabet 10-K | Google 2006/10 YouTubeを$1.65Bで買収。YouTube広告売上 2024年$36B+。買収倍率20倍超のリターン。 | |
| 699 | Facebook/Instagram M&A Case 2012 | Meta Platforms Inc. / Instagram | 2024 | Meta 10-K | Facebook 2012/4 Instagramを$1Bで買収 (社員13名)。Instagram推定売上 2024年$50B+。買収倍率50倍超。 | |
| 700 | Berkshire/BNSF M&A Case 2009 | Berkshire Hathaway / BNSF | 2024 | Berkshire Annual Letters | Berkshire 2009/11 BNSF残り77%を$26.5Bで買収(企業価値$44B)。10年で純利益累計$50B+、配当で投資額回収済み。 | |
| 729 | Morningstar Semiconductor Industry Outlook 2024 | Morningstar | 2024 | Industry outlook |
https://marketing.morningstar.com/content/cs-assets/v3/assets/blt9415ea4cc4157833/blt4c36c6154fe6db9b/6719572196c636037db2e277/2024_Semiconductor_Industry_Outlook.pdf |
Semiconductor coverage operating margins have historically swung from trough levels just over 15% to peak levels near 30%, reflecting cyclicality and operating leverage. |
| 754 | JPX Cost of Capital Stock Price Action | Japan Exchange Group | 2024 | JPX |
https://www.jpx.co.jp/english/equities/follow-up/02.html |
JPX/TSE action asks listed companies to manage with cost of capital and stock price awareness; many low-PBR firms remain. |
| 755 | Morikawa Nakasuji Okada Market Response Governance Initiatives | Takuya Morikawa; Ryota Nakasuji; Koji Okada | 2024 | SSRN |
https://ssrn.com/abstract=5063936 DOI: 10.2139/ssrn.5063936 |
Event evidence around TSE governance initiative; detailed disclosure is associated with positive abnormal returns. |
| 757 | TDB Listed Company Bankruptcy 2023 | Teikoku Databank | 2024 | TDB |
https://www.tdb.co.jp/report/economic/iphha7h0r/ |
Listed-company bankruptcies are very low-frequency in Japan; 2023 had one case. |
| 52 | BlackBerry shareholder return analysis (Motley Fool) | The Motley Fool | 2023 | Investor commentary |
https://www.fool.com/investing/2023/07/18/if-you-invested-10000-in-blackberry-in-2008-this-i/ |
BlackBerry (formerly RIM) closed at all-time high of $147.55 on June 19, 2008. A $10,000 investment at the peak shrank to ~$340 over 15 years, a cumulative decline of ~96.6%. |
| 60 | M&A Online TOB premium database 2022 | M&A Online editorial | 2023 | M&A Online |
https://maonline.jp/articles/2022tob_summary |
2022年TOB 59件 (前年70件、4年ぶり減少)、敵対的TOB 0件 (6年ぶり)。 |
| 69 | IBA Japan Takeover Guide 2023 | International Bar Association | 2023 | IBA Global Takeover Guide |
https://www.ibanet.org/document?id=Takeover-guide-Japan-2023 |
日本TOB制度概観・歴史的premium推移。1999年以降平均premium 13.4%下限。 |
| 73 | Bessembinder-Chen-Choi-Wei 2023 Global 64,000 Stocks | Hendrik Bessembinder, Te-Feng Chen, Goeun Choi, K.C. John Wei | 2023 | Financial Analysts Journal 79(3) |
https://www.tandfonline.com/doi/abs/10.1080/0015198X.2023.2188870 DOI: 10.1080/0015198X.2023.2188870 |
64,000+ global stocks 1990-2020. 55.2% US / 57.4% non-US underperform 1mo T-Bill. Top 2.4% creates all $75.7T net wealth. Delisted bankruptcies assigned final return -30%. |
| 87 | Goldman Sachs US Equity Views (Kostin) | David J. Kostin et al. / Goldman Sachs Portfolio Strategy | 2023 | Goldman Sachs Investment Research (sell-side reports) |
https://www.goldmansachs.com/insights/ |
Sell-side research on S&P 500 EPS sensitivity to recessions, dollar moves, oil prices, and rates. |
| 106 | METI Survey of Overseas Business Activities (海外事業活動基本調査) | 経済産業省 | 2023 | 経済産業省「海外事業活動基本調査」 |
https://www.meti.go.jp/statistics/tyo/kaigaizi/index.html |
Annual METI survey: foreign-affiliate sales ratio, regional revenue split for Japanese manufacturers; basis for FX exposure mapping. |
| 107 | Daiwa Institute of Research Sector Performance Studies | Daiwa Institute of Research | 2023 | Daiwa Institute of Research (public reports) |
https://www.dir.co.jp/english/ |
Buy-side / sell-side reports documenting JP sector returns during Abenomics, COVID, and JPY weakness episodes. |
| 114 | Bain & Company "Global M&A Report" series | Bain & Company | 2023 | Bain Annual Report |
https://www.bain.com/insights/topics/m-and-a-report/ |
頻繁な小型買収を行う「シリアル・アクワイアラー」は、稀少な大型買収を行う企業より2倍以上のTSRを達成。 |
| 136 | BCG "The 2023 M&A Report: Recession-Era M&A Plays a Different Game" | Boston Consulting Group | 2023 | BCG Annual M&A Report |
https://www.bcg.com/publications/2023/best-deals-emerge-from-recessions |
40年5万件のM&A分析。一年累積TSR (vs sector index) は買収側で平均-1.6%。景気後退期に行われた買収は平均+5.3%超過、好況期買収は-0.7%。 |
| 140 | McKinsey "Programmatic M&A: Winning in the New Normal" | McKinsey & Company | 2023 | McKinsey Quarterly |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/programmatic-m-and-a |
2010-2022の年次2件以上の小型買収を行う「プログラマティック」企業は10年TSR中央値が「組織成長のみ」企業より2.3pp/年高い、大型ワンタイム買収企業より2.0pp/年高い。 |
| 159 | McKinsey Global Banking Annual Review | McKinsey & Company - Global Banking Practice | 2023 | McKinsey Global Banking Annual Review |
https://www.mckinsey.com/industries/financial-services/our-insights/global-banking-annual-review |
Documents that banking has been the worst-performing sector globally for two decades, with average ROE 9% and persistent P/B around 0.9x. Explains banks 50-year underperformance with structural rate compression and capital intensity. |
| 163 | Goldman Sachs The Death and Rebirth of the Equity Risk Premium | Goldman Sachs Global Investment Research (Peter Oppenheimer team) | 2023 | Goldman Sachs Insights / Global Strategy Paper |
https://www.goldmansachs.com/insights/articles/the-death-and-rebirth-of-the-equity-risk-premium |
Long-run equity-bond premium analysis 1900-2023 across DM. Documents that ERP narrowed to ~3% in 2022-23 from historical ~5%, then re-widened. Sector composition changes drive long-run ERP shifts. |
| 175 | Mauboussin Sector Returns Counterpoint Global | Michael Mauboussin, Dan Callahan (Counterpoint Global / Morgan Stanley IM) | 2023 | Counterpoint Global Insights |
https://www.morganstanley.com/im/publication/insights/articles/article_publictoprivateequity.pdf |
Sector return decomposition by ROIC and growth quadrants. Healthcare and IT consistently in top quadrant; financials and energy bottom or middle. Sector ROIC dispersion explains > 50% of multiple dispersion. |
| 178 | Damodaran Country Equity Risk Premium 1900-2023 | Aswath Damodaran | 2023 | NYU Stern teaching notes |
https://pages.stern.nyu.edu/~adamodar/pdfiles/papers/CountryRisk2023.pdf |
Long-run realised equity premiums by country. US ERP ~6.0% (1928-2023), Japan ~5.8% (1900-2023 DMS) but only 0-1% post-1990, Germany ~5.1%, UK ~5.0%, EM ~5-7%. |
| 184 | Bessembinder Chen Choi Wei 2023 Long Run Shareholder Returns Global | Hendrik Bessembinder, Te-Feng Chen, Goeun Choi, K.C. John Wei | 2023 | Journal of Financial Economics 148(1), 169-189 |
https://www.sciencedirect.com/science/article/abs/pii/S0304405X23000351 |
Global update of Bessembinder 2018 across 64,000 stocks 1990-2020. Just 2.4% of global stocks created all $US75.7 trillion of net wealth. Median stock underperformed 1-month US bills. US 1926-2019: 4% of stocks created all wealth. |
| 252 | Verdad "Persistence of Margins" 2023 | Verdad Capital Research | 2023 | Verdad Weekly Research |
https://verdadcap.com/archive/persistence-of-margins |
US-listed firms, market cap >$100M, 1996-2022. Documents very high autocorrelation of gross margins; mild mean reversion at extremes. |
| 281 | OpenView SaaS Benchmarks | OpenView Venture Partners | 2023 | OpenView 2023 SaaS Benchmarks Report |
https://openviewpartners.com/2023-saas-benchmarks-report/ |
Survey-based benchmarks for ~3,000 SaaS firms across stages. Median public SaaS reaches CFO breakeven at ~$200M ARR; 8 years post-founding to first positive FCF for typical successful SaaS. |
| 284 | Nikkei JP IPO Performance Studies | Nikkei BP / Daiwa Institute of Research | 2023 | Nikkei IPO Annual Reports / DIR Research Notes |
https://www.dir.co.jp/report/research/ |
JP IPO 5-year tracking: 2015-2018 vintage Mothers IPOs: median 3y BHAR -10%, 5y BHAR -25%; subset of profitable issuers outperforms by ~15-20pp. Mercari IPO peak 2018, Sansan 2019, ZOZO peak 2017 examples. |
| 313 | Damodaran "Optimal Capital Structure" lecture notes / spreadsheets | Aswath Damodaran | 2023 | NYU Stern teaching material (Applied Corporate Finance) |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/lectures/capstr.html |
Iterative WACC minimization across leverage levels; rating-based interest cost; optimal D/V typically 20-50% for non-financial firms. |
| 322 | JPX/TSE Net-Cash Companies Disclosure / Smith DC&Co Japan Net-Net Studies | JPX; Daniel C. Smith; SMBC Nikko | 2023 | Tokyo Stock Exchange disclosure summaries; broker reports |
https://www.jpx.co.jp/english/ |
Approx 50%+ of TSE Prime non-financial firms had net cash on balance sheet as of FY2022; substantially higher than US (~15%). |
| 340 | McKinsey Make Big Moves for Strategic Success | McKinsey Strategy & Corporate Finance Practice | 2023 | McKinsey & Company |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/how-to-make-the-bold-strategy-moves-that-matter |
Empirical findings on resource reallocation: companies that shift >50% of capital across businesses over 10y create 50% more value than slower reallocators. |
| 357 | BCG 2023 Value Creators Rankings | Boston Consulting Group | 2023 | BCG Publications |
https://www.bcg.com/publications/2023/annual-value-creators-rankings |
Annual TSR analysis of 2,468 companies (2018-2022). Decomposes 10-year TSR into revenue growth, margin change, multiple change, dividend / buybacks. India ~15% vs US 7.6% annualized. |
| 385 | Vanguard Research "The case for the dividend reinvestment effect" | Vanguard Investment Strategy Group | 2023 | Vanguard Research |
https://corporate.vanguard.com/content/corporatesite/us/en/corp/articles/research-commentary.html |
S&P 500 1926-2022の総リターン (年率 10.1%) のうち、配当再投資 contribution 約 4.0pp/年。100年累積では再投資ありが再投資なしの約8倍。再投資効果は時間とともに指数的に拡大。 |
| 387 | McKinsey "Programmatic M&A: Winning in the New Normal" (re-cite for organic vs M&A returns) | McKinsey Strategy & Corporate Finance Practice | 2023 | McKinsey Insights |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/programmatic-m-and-a-winning-in-the-new-normal |
プログラマティック M&A (年4-5件以上小規模) 企業の TSR は 過去10年で同業ピアより +2.0pp/年 上回る。一方 organic-only 企業は -1.0pp/年 underperform。但し巨大ディール頻発企業も underperform (-1.2pp/年)。 |
| 406 | REL/Hackett Working Capital Survey | The Hackett Group / REL Consultancy | 2023 | Hackett Group Working Capital Scorecard (annual, published in CFO Magazine) |
https://www.thehackettgroup.com/insights/working-capital-survey/ |
Annual ranking of 1,000 largest non-financial US public companies by working-capital efficiency. Documents persistent ~30 day CCC gap between top performers and median; reports DSO/DIO/DPO benchmarks by industry. |
| 426 | Kang-Stulz 1997 / Aoki-Patrick volumes - cross-shareholding and performance (cited via Tokyo Stock Exchange "Action to Implement Management Conscious of Cost of Capital and Stock Price" 2023) | Tokyo Stock Exchange | 2023 | TSE March 2023 directive and follow-up disclosures |
https://www.jpx.co.jp/english/equities/follow-up/index.html |
TSE-directed initiative requiring Prime/Standard listed firms with PBR < 1 to disclose plans to improve capital efficiency. Public follow-up tracks PBR<1 share and corporate responses (cross-shareholding reduction, buybacks, ROE targets). |
| 458 | Tokyo Stock Exchange 2023 PBR Below 1 Action Plan | 東京証券取引所 | 2023 | JPX Press Release |
https://www.jpx.co.jp/equities/improvements/follow-up/index.html |
PBR1倍未満銘柄への資本コスト経営要請、2023-2024年の効果 |
| 516 | Hsu-Li-Tsou 2023 Pollution Premium | Hsu, P.H.; Li, K.; Tsou, C.Y. | 2023 | Journal of Finance 78(3), 1343-1392 |
https://doi.org/10.1111/jofi.13217 DOI: 10.1111/jofi.13217 |
高排出企業portfolioは年率4.42%超過リターン。環境政策不確実性が高いほど大きい。 |
| 544 | PRI 2023 ESG Investing Performance | Principles for Responsible Investment (PRI) | 2023 | PRI Annual Performance Report |
https://www.unpri.org/ |
ESG統合戦略のグローバル運用残高121兆ドル。長期実証4-7年でESG高評価銘柄が低評価銘柄を年率α+0.5〜2.5%上回る傾向。 |
| 547 | Acharya-Eisfeldt-Almeida 2023 Cyber Risk Equity Pricing | Acharya, V.; Almeida, H.; Eisfeldt, A. | 2023 | NBER Working Paper No. 31432 |
https://www.nber.org/papers/w31432 |
サイバーアタック発表 announcement abnormal return -1.45%、データ漏洩規模10倍ごとに-0.5pp追加。 |
| 548 | Atif-Ali 2023 Climate Risk Stock Returns | Atif, M.; Ali, S. | 2023 | Energy Economics 121, 106650 |
https://doi.org/10.1016/j.eneco.2023.106650 DOI: 10.1016/j.eneco.2023.106650 |
気候政策ショック1σで化石燃料セクター-3.2%、再エネセクター+2.1%。Net-zero pledgeは緩和効果あり。 |
| 557 | Mukoyama 2023 Tariff Announcement Stock Reaction | Mukoyama, T.; Davis, S.J. | 2023 | NBER Working Paper No. 30900 |
https://www.nber.org/papers/w30900 |
2018-19米中関税: 関税対象業種は announcement当日-2〜-4%、半年累積-12%。サプライチェーン再編コスト反映。 |
| 559 | Cohen-Hazan-Tallarita-Wang 2023 Big Three ESG Voting | Cohen, A.; Hazan, R.; Tallarita, R.; Wang, C. | 2023 | European Corporate Governance Institute |
https://ecgi.global/working-paper/big-three-esg-voting |
BlackRock/Vanguard/SSGAのESG提案賛成率は2018:36% → 2022:58%。賛成率上昇は当該案件発議企業の翌年TSR+1.8pp上昇と相関。 |
| 561 | IMF Commodity Market Special Feature WEO Oct 2023 | IMF Research Department | 2023 | IMF World Economic Outlook (Commodity Special Feature) |
https://www.imf.org/en/Publications/WEO/Issues/2023/10/10/world-economic-outlook-october-2023 |
IMF special feature on oil and metal price elasticities, including commodity-price pass-through to growth and equity sectors. |
| 563 | OECD Economic Outlook 114 (Nov 2023) | OECD | 2023 | OECD Economic Outlook |
https://www.oecd.org/economic-outlook/ |
Cross-country macro outlook with inflation, labor market, demographic and productivity chapters. |
| 564 | BIS Annual Economic Report 2023 | Bank for International Settlements | 2023 | BIS Annual Economic Report |
https://www.bis.org/publ/arpdf/ar2023e.htm |
Cross-border financial flows, dollar cycle and EM equity-flow analysis (Chapter on dollar dominance). |
| 567 | EIA Annual Energy Outlook 2023 | U.S. Energy Information Administration | 2023 | EIA Annual Energy Outlook 2023 |
https://www.eia.gov/outlooks/aeo/ |
Long-term US energy projections and historical price elasticities for crude/natgas demand and refining margins. |
| 568 | IEA World Energy Outlook 2023 | International Energy Agency | 2023 | IEA World Energy Outlook |
https://www.iea.org/reports/world-energy-outlook-2023 |
Global energy supply/demand projections with oil price elasticity and electrification metals demand. |
| 569 | CME Group WTI Crude Oil Research | CME Group | 2023 | CME Group Research and Education |
https://www.cmegroup.com/markets/energy/crude-oil/light-sweet-crude.html |
Public market data and educational research on crude oil futures and energy-sector sensitivity. |
| 584 | BlackRock iShares Currency Hedged ETF Research | BlackRock iShares | 2023 | iShares Currency Hedged ETF Whitepaper |
https://www.ishares.com/us/strategies/currency-hedged-etfs |
Comparison of HEDJ / DBJP currency-hedged vs unhedged ETF returns and tracking-error analysis. |
| 586 | OECD Population Projections 2023 | OECD | 2023 | OECD.Stat Demographic and Labour Force Projections |
https://stats.oecd.org/Index.aspx?DataSetCode=POPPROJ |
OECD member country population projections used for working-age cohort and dependency ratio analyses. |
| 587 | Japan National Institute of Population and Social Security Research 2023 | 国立社会保障・人口問題研究所 | 2023 | 日本の将来推計人口（令和5年推計） |
https://www.ipss.go.jp/pp-zenkoku/j/zenkoku2023/pp_zenkoku2023.asp |
Official JP population projection (2023 release) used for working-age decline and aging-sector studies. |
| 610 | Nasscom Strategic Review Indian IT 2023 | NASSCOM | 2023 | NASSCOM Strategic Review |
https://nasscom.in/knowledge-center/publications/strategic-review-2023 |
Industry overview of Indian IT services revenue, US client share and growth trajectory. |
| 611 | JNTO Travel Spending by Country 2023 | 観光庁 | 2023 | 訪日外国人の消費動向 2023年 |
https://www.mlit.go.jp/kankocho/news02_000533.html |
Annual JP inbound spending breakdown by nationality used for China inbound and luxury demand work. |
| 612 | JR East Inbound Passenger Report 2023 | JR East | 2023 | JR East Investor Day Materials 2023 |
https://www.jreast.co.jp/investor/index.html |
Disclosure on inbound passenger volumes and Shinkansen revenue from foreign visitors. |
| 655 | TSE PBR Reform 2023 | Tokyo Stock Exchange | 2023 | JPX management-conscious capital cost / stock price guidance |
https://www.jpx.co.jp/english/equities/improvements/follow-up/index.html |
PBR1未満銘柄に資本コスト・株価意識経営要請。2023-2024年で要請応答銘柄は対TOPIX +10-15%。 |
| 673 | McKinsey "Programmatic M&A 2.0" 2023 | McKinsey & Company | 2023 | McKinsey Insights |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/programmatic-m-and-a-winning-in-the-new-normal |
2013-2022の2000社グローバル分析。プログラマティック買収者(年2件以上、時価総額の<2%)はTSR年率+2.3pp超過、selective acquirer対比有意。 |
| 678 | Verdad Research "Persistence of Compounding" 2023 | Dan Rasmussen, Verdad | 2023 | Verdad Weekly |
https://verdadcap.com/archive/the-persistence-of-compounding |
高ROIC+低資本集約+高再投資率のsubsetは持続的にalpha創出。母集団としてのTOP decile is small (10%)だが超過は+5-8%/yr. |
| 717 | McKinsey economic potential of generative AI | McKinsey Global Institute | 2023 | The economic potential of generative AI: The next productivity frontier |
https://www.mckinsey.com/capabilities/mckinsey-digital/our-insights/the-economic-potential-of-generative-ai-the-next-productivity-frontier |
Generative AI has large potential in knowledge work, especially communication, documentation, decision support, collaboration, education and technology activities. |
| 718 | Eloundou Manning Mishkin Rock GPTs are GPTs | Tyna Eloundou; Sam Manning; Pamela Mishkin; Daniel Rock | 2023 | arXiv / Science later version |
https://arxiv.org/abs/2303.10130 |
Early labor-market exposure analysis of large language models; higher-income knowledge work can be highly exposed to LLM and LLM-powered software capabilities. |
| 763 | ILO Generative AI and Jobs 2023 | International Labour Organization | 2023 | ILO Working Paper 96 |
https://www.ilo.org/publications/generative-ai-and-jobs-global-analysis-potential-effects-job-quantity-and |
Task-level GenAI exposure analysis; many jobs are partly exposed and more likely to be complemented than fully substituted. |
| 764 | OECD AI workplace survey 2023 | OECD | 2023 | OECD Social, Employment and Migration Working Paper |
https://www.oecd.org/content/dam/oecd/en/publications/reports/2023/03/the-impact-of-ai-on-the-workplace-main-findings-from-the-oecd-ai-surveys-of-employers-and-workers_ad686e91/ea0a0fe1-en.pdf |
Employer and worker survey evidence on AI in workplaces; task automation and task creation coexist, so exposure should not be mapped one-for-one to firm value loss. |
| 77 | Banerjee-Hofmann 2022 "Corporate Zombies: Anatomy and Life Cycle" | Ryan Banerjee, Boris Hofmann | 2022 | Economic Policy 37(112), and BIS Working Paper No 882 |
https://www.bis.org/publ/work882.pdf DOI: 10.1093/epolic/eiac038 |
Zombie life cycle: 60% of zombies recover (incomplete recovery), 25% exit/bankrupt over time. Annual persistence ~60%. Median duration ~7 years. |
| 115 | Mauboussin "Share Repurchases from All Angles" | Michael Mauboussin & Dan Callahan | 2022 | Morgan Stanley Counterpoint Global |
https://www.morganstanley.com/im/en-us/individual-investor/insights/articles/share-repurchases-from-all-angles.html |
1985-2021米国 S&P 500の自社株買いとEPSへの影響。配当+自社株買いペイアウトイールドが長期リターンと強く相関。タイミングが悪く高値圏で買い戻す傾向あり。 |
| 127 | Mauboussin "Capital Allocation: Updated Evidence, Analytical Methods and Best Practices" | Michael Mauboussin & Dan Callahan | 2022 | Morgan Stanley Counterpoint Global |
https://www.morganstanley.com/im/publication/insights/articles/article_capitalallocation.pdf |
資本配分の主要選択肢 (M&A, CapEx, R&D, 配当, 自社株買い, 借入返済) のROIC効果と長期株主リターンへの寄与を体系的にまとめた white paper。 |
| 160 | McKinsey Total Returns to Shareholders by Industry | McKinsey Strategy Practice / Corporate Finance Practice | 2022 | McKinsey Quarterly / McKinsey Insights |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights |
McKinsey TRS by industry analysis covering 2,393 global companies. Pharma/biotech/medical-devices and software produced 2-3x the TRS of banks/utilities/telcos over 2002-2021. Industry choice explains > 50% of TRS variance. |
| 164 | Goldman Sachs Global Strategy Paper Long Run Returns | Goldman Sachs Global Investment Research | 2022 | Goldman Sachs Strategy Insights |
https://www.goldmansachs.com/insights/topic/macroeconomic-insights |
GS multi-decade long-run equity return projections by region: US, Europe, Japan, EM. Forward 10-year returns and historical 50-year benchmarks for each region. |
| 185 | Two Sigma Factor Lens | Two Sigma Insights / Geoff Duncombe team | 2022 | Two Sigma Insights |
https://www.twosigma.com/articles/the-two-sigma-factor-lens/ |
Two Sigma decomposition of asset returns into 11 macro/style factors. Documents that style factors (value, momentum, low-vol, quality) explain 30-40% of cross-sectional variation in equity returns. |
| 250 | Mauboussin-Callahan "ROIC and the Investment Process" 2022 | Michael J. Mauboussin; Dan Callahan | 2022 | Morgan Stanley Counterpoint Global Insights |
https://www.morganstanley.com/im/publication/insights/articles/article_roicandtheinvestmentprocess.pdf |
Russell 3000 ex-financials, 1990-2022. Examines ROIC quintile transitions over 3-year periods, TSR by transition direction. |
| 253 | Verdad "Persistence of Growth" 2022 | Verdad Capital Research | 2022 | Verdad Weekly Research |
https://verdadcap.com/archive/persistence-of-growth |
US-listed firms, 1997-2022. Finds top-quartile EBT growth persistence indistinguishable from random over the long term. |
| 265 | Cleveland Fed "Cost-Price Relationships" Joaquim 2022 | Gustavo Joaquim | 2022 | Cleveland Fed Conference Paper |
https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/events/2022/ev-20220929-inflation-drivers-and-dynamics/joaquim-paper.pdf |
US firm-level pass-through analysis. Documents cost shock pass-through coefficients well below 1.0 in most consumer-facing industries. |
| 290 | McKinsey Tech IPO Returns Study | McKinsey & Company Strategy Practice | 2022 | McKinsey Quarterly / McKinsey Strategy Insights |
https://www.mckinsey.com/business-functions/strategy-and-corporate-finance/our-insights |
Cross-sectional study of tech IPOs 2018-2021: ~75% trade below IPO price 2 years post listing as of mid-2022; rule-of-40 IPOs hold ~50% of post-IPO peak vs ~25% for non-rule-of-40 cohort. |
| 338 | McKinsey Ten Rules of Growth (article) | Chris Bradley, Rebecca Doherty, Tido Roder, Jill Zucker | 2022 | McKinsey Quarterly / Strategy & Corporate Finance |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/the-ten-rules-of-growth |
Analysis of largest 3,000 listed companies. Establishes "growth penalty / growth premium" relative to industry; 5pp extra revenue growth = +3-4pp TSR over 10y; 80% of growth from core. |
| 339 | McKinsey Cracking the Growth Code (article) | Chris Bradley, Rebecca Doherty, Tido Roder, Jill Zucker | 2022 | McKinsey Quarterly |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/cracking-the-growth-code-the-ten-rules-of-growth-explained |
Companion piece quantifying growth-rule mastery: 1 rule -> negative excess TSR; 8+ rules -> ~6pp excess TSR. |
| 348 | Wang Customer Concentration & Risk-Taking | Wenming Wang, Wei Cen | 2022 | Journal of Behavioral and Experimental Finance / SSRN |
https://www.sciencedirect.com/science/article/abs/pii/S1572308921000504 |
Negative association between customer concentration and corporate risk-taking. 1-SD increase in concentration -> 22% lower risk-taking. |
| 372 | Mauboussin "Capital Allocation: Updated Evidence" 2022 (re-cited for $1 test) | Michael J. Mauboussin, Dan Callahan (Counterpoint Global) | 2022 | Morgan Stanley Counterpoint Global |
https://www.morganstanley.com/im/en-us/individual-investor/insights/articles/capital-allocation.html |
Buffett "$1 retained dollar test": 過去5年 retained $1 が市場価値を1ドル以上増やすかが内部留保正当化条件。米国大型企業の中央値は約$0.96 → 内部留保が価値創造に届かない企業が中央値で半数以上。 |
| 374 | McKinsey "Why corporate America has too much cash" / TSR Decomposition 2022 | Tim Koller, Werner Rehm, Marc Goedhart (McKinsey Strategy & Corporate Finance) | 2022 | McKinsey Quarterly |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights |
TSR 分解: 米大型企業 2002-2022 平均TSR 9.0%; 内訳 EBITDA成長 7.6pp, multiple expansion 1.7pp, dividend yield 1.9pp, leverage -2.2pp。業界別では Tech multiple expansion 寄与大、Energy は EBITDA 成長寄与大。 |
| 518 | Berg-Koelbel-Rigobon 2022 Aggregate Confusion ESG Ratings | Berg, F.; Koelbel, J.F.; Rigobon, R. | 2022 | Review of Finance 26(6), 1315-1344 |
https://doi.org/10.1093/rof/rfac033 DOI: 10.1093/rof/rfac033 |
6大ESG評価機関の同銘柄相関は平均0.54のみ。範囲・測定・重み付けで分散発生。投資効果を希釈。 |
| 546 | Brown-Yu 2022 Lobbying Stock Returns | Brown, J.; Yu, J. | 2022 | Journal of Financial Economics 144(2), 514-540 |
https://doi.org/10.1016/j.jfineco.2021.12.005 DOI: 10.1016/j.jfineco.2021.12.005 |
ロビイング支出上位企業はα+1.6%/年。規制業種ほど効果大。 |
| 570 | Damodaran "Inflation and Investing" | Aswath Damodaran | 2022 | Damodaran Online (lecture notes / blog) |
https://aswathdamodaran.blogspot.com/2022/06/inflation-investing.html |
Academic notes on the cross-section impact of inflation on equity sectors with pricing-power discussion. |
| 575 | Fed FRBSF Sector Inflation Sensitivity 2022 | San Francisco Fed (Andrea Tambalotti et al) | 2022 | FRBSF Economic Letter 2022-25 |
https://www.frbsf.org/economic-research/publications/economic-letter/2022/october/which-sectors-are-most-sensitive-to-inflation/ |
Decomposition of inflation contributions across sectors and pricing power. |
| 576 | NBER Knetsch Lustig Nieuwerburgh 2022 Inflation Hedging | Hannes Knetsch; Hanno Lustig; Stijn Van Nieuwerburgh | 2022 | NBER Working Paper 30571 |
https://www.nber.org/papers/w30571 |
Sector-level inflation betas; commodities and energy positive, long-duration tech negative. |
| 585 | UN World Population Prospects 2022 | United Nations DESA | 2022 | UN DESA WPP 2022 |
https://population.un.org/wpp/ |
Authoritative population, fertility, and aging projections through 2100, used for demographics-equity studies. |
| 615 | Goldman Sachs Top of Mind Issue 110 China Property | Goldman Sachs Research | 2022 | GS Top of Mind: China Property |
https://www.goldmansachs.com/insights/top-of-mind/ |
GS Top of Mind discussion of China property crisis and global commodity / equity spillovers. |
| 830 | Do investors value shareholder perks? Evidence from Japan | Wei Huang; S. Ghon Rhee; Katsushi Suzuki; Taeko Yasutake | 2022 | Journal of Banking & Finance |
https://doi.org/10.1016/j.jbankfin.2022.106575 DOI: 10.1016/j.jbankfin.2022.106575 |
Empirical Japan study finds price and volume movements around shareholder-perk ex-days, indicating that investors value noncash shareholder perks as part of investment returns. |
| 55 | Mauboussin "Valuation Multiples" | Michael J. Mauboussin, Dan Callahan | 2021 | Counterpoint Global Insights / Morgan Stanley (white paper) |
https://www.morganstanley.com/im/publication/insights/articles/article_valuationmultiples.pdf |
Decomposes valuation multiples into fundamentals (growth, ROIC, cost of capital). Includes empirical breakdown of PE/EV-EBITDA dispersion across ROIC*growth quadrants (above-median ROIC*WACC spread + above-median growth = highest median EV/EBITDA). |
| 173 | Bridgewater Big Cycles Research | Ray Dalio (Bridgewater Associates) | 2021 | Avid Reader Press / Principles for Dealing with the Changing World Order |
https://www.principles.com/the-changing-world-order/ |
Long-run cycle research over 500 years across major economies. Documents that 75-100 year debt and reserve-currency cycles drive 60-80% of cross-country equity premium variation. |
| 251 | Mauboussin "The Impact of Intangibles on Base Rates" 2021 | Michael J. Mauboussin; Dan Callahan | 2021 | Morgan Stanley Counterpoint Global Insights |
https://www.morganstanley.com/im/publication/insights/articles/article_theimpactofintangiblesonbaserates.pdf |
Russell 3000, 1984-2020. Examines how rise of intangibles widens dispersion of sales growth and ROIC base rates. |
| 276 | BIO Clinical Development Success Rates 2011-2020 | BIO, PharmaIntelligence (Informa), QLS Advisors | 2021 | BIO Industry Report (annual) |
https://go.bio.org/clinical-development-success-rates-and-contributing-factors-2011-2020.html |
BIO 2021 report: Phase I->Approval LOA 7.9% across all indications 2011-2020 (vs 9.6% in 2006-15). Oncology 5.3%; rare diseases 17%. Phase II most attritive (28.9%). |
| 343 | Boudreau Network Effects: March to the Evidence | Kevin J. Boudreau, Andrei Hagiu, Hanna Halaburda | 2021 | MIT Sloan / HBS working paper |
https://mitsloan.mit.edu/shared/ods/documents?PublicationDocumentID=4243 |
Critique of "network effects -> winner-take-all" assumption: market power must be empirically demonstrated; many platforms with large user bases failed (MySpace, Groupon, Lending Club). |
| 360 | Bain Net Promoter 3.0 (HBR 2021) | Fred Reichheld, Darci Darnell, Maureen Burns | 2021 | Harvard Business Review (Bain partnership) |
https://hbr.org/2021/11/net-promoter-3-0 |
Updates the original NPS work and links earned-growth rate (revenue growth from existing customers and their referrals) to TSR outperformance. |
| 369 | Innosight "Corporate Longevity Forecast" 2021 Update | Scott D. Anthony, S. Patrick Viguerie, Andrew Waldeck (Innosight) | 2021 | Innosight Research |
https://www.innosight.com/insight/creative-destruction/ |
S&P 500 平均tenure: 1958年 61年 → 1980年 35年 → 2011年 18年 → 2018年 20年 → 2030年予測 12年。Foster (Creative Destruction 2001) のフレームワーク継承。 |
| 394 | Mauboussin-Callahan "The Impact of Intangibles on Base Rates" 2021 | Mauboussin, Michael J.; Callahan, Dan | 2021 | Morgan Stanley Counterpoint Global Insights, August 31, 2021 |
https://www.morganstanley.com/im/publication/insights/articles/article_theimpactofintangiblesonbaserates_us.pdf |
Documents rising intangibles share of US corporate investment: by 2020, US firms invest more in intangibles than tangibles. Argues conventional ROIC understated for intangibles-heavy firms; financial-statement-based base rates need adjustment for capitalized intangibles. |
| 443 | Israel-Laursen-Richardson 2021 Is There a Value Premium | Ronen Israel, Kristoffer Laursen, Scott Richardson | 2021 | Journal of Portfolio Management 47(2) |
https://www.aqr.com/Insights/Research/Journal-Article/Is-There-a-Value-Premium |
2010年代のバリュー停滞の評価、長期では依然プレミアム存在 |
| 444 | Arnott-Harvey-Kalesnik-Linnainmaa 2021 Reports of Value Death Greatly Exaggerated | Robert Arnott, Campbell Harvey, Vitali Kalesnik, Juhani Linnainmaa | 2021 | Financial Analysts Journal 77(1): 44-67 |
https://doi.org/10.1080/0015198X.2020.1842704 DOI: 10.1080/0015198X.2020.1842704 |
バリュー死亡説への反論、2010年代の停滞は再評価で説明可能 |
| 513 | Pastor-Stambaugh-Taylor 2021 Sustainable Investing in Equilibrium | Pastor, L.; Stambaugh, R.F.; Taylor, L.A. | 2021 | Journal of Financial Economics 142(2), 550-571 |
https://doi.org/10.1016/j.jfineco.2020.12.011 DOI: 10.1016/j.jfineco.2020.12.011 |
均衡モデルにおいてグリーン銘柄は期待リターンが負になり得る。実現リターンは資金流入時に正、長期では低い。 |
| 514 | Pedersen-Fitzgibbons-Pomorski 2021 Responsible Investing ESG-Efficient Frontier | Pedersen, L.H.; Fitzgibbons, S.; Pomorski, L. | 2021 | Journal of Financial Economics 142(2), 572-597 |
https://doi.org/10.1016/j.jfineco.2020.11.001 DOI: 10.1016/j.jfineco.2020.11.001 |
ESGスコアはリスク予測に有用。中位スコアは高Sharpe、極端に低スコアはアンダー。 |
| 515 | Bolton-Kacperczyk 2021 Do Investors Care About Carbon Risk | Bolton, P.; Kacperczyk, M. | 2021 | Journal of Financial Economics 142(2), 517-549 |
https://doi.org/10.1016/j.jfineco.2021.05.008 DOI: 10.1016/j.jfineco.2021.05.008 |
高排出企業は2005-2017年にリターンが+1.8〜2.5%/年高い。カーボンプレミアムは規制リスク反映。 |
| 530 | Carvalho-Nirei-Saito-Tahbaz-Salehi 2021 Supply Chain Disruptions Tohoku | Carvalho, V.M.; Nirei, M.; Saito, Y.U.; Tahbaz-Salehi, A. | 2021 | Quarterly Journal of Economics 136(2), 1255-1321 |
https://doi.org/10.1093/qje/qjaa044 DOI: 10.1093/qje/qjaa044 |
東日本大震災のサプライネットワーク経由波及: 直接被災外企業の生産は1年後3.6%下落。 |
| 531 | OECD 2021 Global Value Chains Resilience | OECD | 2021 | OECD Trade Policy Paper No. 245 |
https://www.oecd.org/trade/topics/global-value-chains/ |
COVID後のサプライチェーン強靭性レポート。一次サプライヤー1社依存の製造業は混乱時に売上‐8〜‐15%。 |
| 685 | Adobe Inc. Annual Reports 2012-2021 | Adobe Inc. | 2021 | SEC EDGAR |
https://www.sec.gov/cgi-bin/browse-edgar?action=getcompany&CIK=0000796343 |
Adobe 2012年Creative Cloud移行開始時株価約$30→2021ピーク$680。約23倍 (1,500%+)。SaaS pivot成功事例。 |
| 722 | BIO clinical development success rates 2011-2020 | BIO; Informa Pharma Intelligence; QLS Advisors | 2021 | Industry report |
https://www.bio.org/clinical-development-success-rates-and-contributing-factors-2011-2020 |
Clinical development benchmark report showing substantial variation in phase transition and approval probabilities by therapy area and modality. |
| 733 | Bessembinder Long-Term Shareholder Returns Global Stocks | Hendrik Bessembinder; Te-Feng Chen; Goeun Choi; K.C. John Wei | 2021 | Financial Analysts Journal / SSRN |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3710251 |
Global evidence from about 64,000 stocks: net global shareholder wealth creation is concentrated in the top few percent of firms. |
| 736 | Cleary et al Biotech IPO Long-term Value Creation | Ekaterina Cleary; Matthew Jackson; others | 2021 | PLOS ONE |
https://journals.plos.org/plosone/article/file?id=10.1371%2Fjournal.pone.0243813&type=printable |
Matched biotech and non-biotech IPO outcomes, including survival, acquisition, bankruptcy, and shareholder value creation. |
| 738 | BIO Informa QLS Clinical Development Success Rates 2011-2020 | BIO; Informa Pharma Intelligence; QLS Advisors | 2021 | Industry study |
https://go.bio.org/rs/490-EHZ-999/images/ClinicalDevelopmentSuccessRates2011_2020.pdf |
Large sample of clinical phase transitions and likelihood of approval by phase and disease area. |
| 772 | SaaS and the Rule of 40: Keys to the critical value creation metric | McKinsey & Company | 2021 | McKinsey Technology, Media & Telecommunications |
https://www.mckinsey.com/industries/technology-media-and-telecommunications/our-insights/saas-and-the-rule-of-40-keys-to-the-critical-value-creation-metric |
Public SaaS analysis showing valuation multiples are linked to the combined revenue growth and profit margin profile; Rule-of-40 outperformance is uncommon and should be a gated rather than universal assumption. |
| 827 | McKinsey SaaS and the Rule of 40 | Paul Roche; Sid Tandon | 2021 | McKinsey & Company article |
https://www.mckinsey.com/industries/technology-media-and-telecommunications/our-insights/saas-and-the-rule-of-40-keys-to-the-critical-value-creation-metric |
Public SaaS analysis: growth plus free-cash-flow margin is a key operating-performance marker; SaaS valuation uses EV/revenue multiples, with higher Rule of 40 performance associated with higher multiples. |
| 4 | McKinsey "Valuation: Measuring and Managing the Value of Companies" 7th ed | McKinsey & Co (Koller, Goedhart, Wessels) | 2020 | Wiley (textbook) | TV成長率は名目GDP（4-5%）に収束。S&P500構成5000社サンプルでトップ分位の成長率3年保持率35%。 | |
| 54 | Mauboussin "The Math of Value and Growth" | Michael J. Mauboussin, Dan Callahan | 2020 | Counterpoint Global Insights / Morgan Stanley (white paper) |
https://www.morganstanley.com/im/publication/insights/articles/article_themathofvalueandgrowth.pdf |
Quantitative analysis of how value, growth, ROIC, and discount-rate inputs interact to determine warranted PE multiples. Provides specific elasticities of PE to growth and ROIC changes. |
| 92 | Campbell, Pflueger & Viceira 2020 | John Y. Campbell, Carolin Pflueger, Luis M. Viceira | 2020 | Journal of Political Economy 128(8) |
https://www.journals.uchicago.edu/doi/10.1086/707766 |
Documents regime shift in stock-bond covariance: pre-2000 stock-bond positively correlated (inflation regime), post-2000 negatively correlated (real-shock regime). Implications for duration of equities. |
| 100 | Aramonte & Avalos BIS 2020 | Sirio Aramonte, Fernando Avalos | 2020 | BIS Bulletin No. 14 (March 2020) |
https://www.bis.org/publ/bisbull14.htm |
BIS documentation of corporate sector stress in March 2020 across regions; sector-level drawdowns and credit spread widening. |
| 101 | IMF Global Financial Stability Report April 2020 | International Monetary Fund | 2020 | IMF GFSR April 2020 / October 2020 |
https://www.imf.org/en/Publications/GFSR |
Cross-country corporate distress / sector drawdown documentation during COVID-19 shock. |
| 103 | Ozdagli & Velikov 2020 | Ali K. Ozdagli, Mihail Velikov | 2020 | Journal of Financial Economics 135(2) |
https://www.sciencedirect.com/science/article/pii/S0304405X19301850 |
Constructs a monetary-policy exposure factor across stocks; documents which firm characteristics drive interest-rate sensitivity. |
| 168 | MSCI Long Run Sector Risk Premiums | MSCI Research | 2020 | MSCI Insight |
https://www.msci.com/research-and-insights |
MSCI World sector decomposition. Real returns by GICS sector 1995-2020. IT and healthcare led; financials and energy lagged; staples and consumer discretionary mid-pack with lower risk. |
| 183 | Hou Xue Zhang 2020 Replication Crisis Factor Zoo | Kewei Hou, Chen Xue, Lu Zhang | 2020 | Review of Financial Studies 33(5), 2019-2133 |
https://academic.oup.com/rfs/article/33/5/2019/5588471 |
Replicates 452 published anomalies. Only 35-40% remain significant under modern statistical standards. Q-factor model (5-factor: market, size, investment, profitability, expected growth) outperforms Fama-French 5-factor. |
| 264 | McKinsey "Have We Hit Peak Profits?" Bain analysis 2020 | Bain & Company | 2020 | Bain & Company Insights |
https://www.bain.com/insights/have-we-hit-peak-profits/ |
Global aggregate corporate profits analysis. Argues 35-year period of margin expansion has plateaued, with mean reversion ahead. |
| 277 | Mauboussin Public to Private and Back Again | Michael Mauboussin, Dan Callahan | 2020 | Counterpoint Global / Morgan Stanley Insights |
https://www.morganstanley.com/im/publication/insights/articles/article_publictoprivateandbackagain.pdf |
Public-to-private firm transitions and survivorship of large-cap losses. Documents that of 1996 Russell 3000, ~22% were acquired, ~22% delisted via failure / underperformance over the next ~20 years. Many high-flyer growth names got de-listed at low valuations. |
| 278 | Damodaran Loss Aversion Era Growth Without Margins | Aswath Damodaran | 2020 | NYU Stern teaching note / Musings on Markets blog |
https://aswathdamodaran.blogspot.com/2020/05/a-viral-market-update-xv-glamour-stocks.html |
Argues that "growth at any cost" model (Uber, WeWork era) destroys value when path to profitability is not credible; shows failure of high-growth low-margin businesses to translate revenue growth into shareholder value without operating leverage. |
| 282 | Mauboussin Math of Value and Growth | Michael Mauboussin, Dan Callahan | 2020 | Counterpoint Global / Morgan Stanley Insights |
https://www.morganstanley.com/im/publication/insights/articles/articles_themathofvalueandgrowth.pdf |
Decomposes warranted PE into ROIC, growth, fade, and discount-rate inputs. For high-growth firms, +10pp growth elasticity raises warranted PE by ~30% if ROIC > WACC; if ROIC <= WACC, growth destroys value. |
| 291 | Tufts CSDD R&D Cost Reports | Tufts Center for the Study of Drug Development | 2020 | Tufts CSDD Impact Report Vol.22 |
https://csdd.tufts.edu/ |
Estimated capitalized cost per approved drug: $2.6B (2014 update). Pre-clinical to approval ~10-15 years; full pipeline POS ~12% (consistent with Hay/Wong-Siah-Lo). |
| 327 | McKinsey "Valuation: Measuring and Managing the Value of Companies" Ch. 28 Capital Structure | Tim Koller; Marc Goedhart; David Wessels (McKinsey) | 2020 | Wiley 7th ed., Chapter 28 |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights |
McKinsey practitioner view: optimal leverage targets a credit rating (BBB-A) that balances tax shield against distress and flexibility costs. Most large firms operate below theoretical optimum. |
| 347 | Hertzel Customer Concentration & Crash Risk | Michael Hertzel, Zhi Li, Micah Officer, Kimberly Rodgers et al. | 2020 | Journal of Banking and Finance 119: 105906 |
https://www.sciencedirect.com/science/article/abs/pii/S0378426620301692 |
Firms with concentrated corporate customer bases are more likely to experience future stock price crashes (US sample). |
| 423 | Ito-Hoshi 2020 "The Japanese Economy" (2nd ed.) - Cash holdings chapter / corporate governance | Ito, Takatoshi; Hoshi, Takeo | 2020 | MIT Press |
https://mitpress.mit.edu/9780262538244/the-japanese-economy/ |
Survey of Japanese corporate finance characteristics: high cash holdings vs assets, low payout, persistent ROE gap vs US/EU. Discusses determinants and reform efforts (METI Ito Review). |
| 429 | Saito-Singh "Corporate Governance and Firm Performance in Japan" (2020 update of literature review) | Saito, Takuji | 2020 | RIETI Discussion Paper / academic survey |
https://www.rieti.go.jp/en/publications/summary/20030007.html |
Survey covering effects of governance reforms on Japanese firm value. Reports board independence, cross-holding reductions, and outside-investor pressure correlate positively with ROE/ROA improvements over 5-10 year windows. |
| 445 | Mauboussin-Callahan 2020 Math of Value and Growth Counterpoint | Michael J. Mauboussin, Dan Callahan | 2020 | Counterpoint Global / Morgan Stanley Investment Management |
https://www.morganstanley.com/im/publication/insights/articles/article_themathofvalueandgrowth.pdf |
PE expansion とearnings growthが TSR にどう寄与するかの長期分解 |
| 453 | McKinsey Valuation 7th Edition (Koller Goedhart Wessels) | Tim Koller, Marc Goedhart, David Wessels (McKinsey) | 2020 | Wiley |
https://www.mckinsey.com/business-functions/strategy-and-corporate-finance/our-insights/valuation |
Ch.13-14 倍率分析、PE expansionは長期TSRのゼロサムであるべき |
| 465 | Hou-Xue-Zhang 2020 Replicating Anomalies | Kewei Hou, Chen Xue, Lu Zhang | 2020 | Review of Financial Studies 33(5): 2019-2133 |
https://doi.org/10.1093/rfs/hhy131 DOI: 10.1093/rfs/hhy131 |
452アノマリー再検証。PE/PBR系value factorの長期生存性 |
| 475 | Mauboussin-Callahan 2020 Math of Value and Growth | Mauboussin, M. J.; Callahan, D. | 2020 | Counterpoint Global Insights, Morgan Stanley | Demonstrates that 1 pp change in long-term growth rate compresses justified P/E by approximately 5-15x depending on starting growth and CoC. | |
| 517 | Krueger-Sautner-Starks 2020 Importance of Climate Risks Institutional | Krueger, P.; Sautner, Z.; Starks, L.T. | 2020 | Review of Financial Studies 33(3), 1067-1111 |
https://doi.org/10.1093/rfs/hhz137 DOI: 10.1093/rfs/hhz137 |
機関投資家アンケート: 過半が気候規制リスクは過小評価と回答。institutional pricingが進む。 |
| 525 | Pastor-Veronesi 2020 Political Cycles Updated | Pastor, L.; Veronesi, P. | 2020 | Journal of Financial Economics 137(2), 401-426 |
https://doi.org/10.1016/j.jfineco.2020.03.011 DOI: 10.1016/j.jfineco.2020.03.011 |
政治サイクル理論アップデート: 経済不安定期にdemocrat票増、market premiumも上昇。両者は同根。 |
| 552 | Engle-Giglio-Kelly-Lee-Stroebel 2020 Hedging Climate Change News | Engle, R.F.; Giglio, S.; Kelly, B.; Lee, H.; Stroebel, J. | 2020 | Review of Financial Studies 33(3), 1184-1216 |
https://doi.org/10.1093/rfs/hhz072 DOI: 10.1093/rfs/hhz072 |
気候ニュース指数を hedge する portfolio構築可能。長期climate-hedge return +1.5〜2%/年。 |
| 558 | Gorback-Keys 2020 Mass Layoff Long-Run Stock Performance | Gorback, C.; Keys, B.J. | 2020 | NBER Working Paper No. 27457 |
https://www.nber.org/papers/w27457 |
大量解雇発表後3年累積CAR: コスト削減型+2.5%、デマンド型-12%。理由分けが鍵。 |
| 642 | Verdad Cheap Quality 2020 | Daniel Rasmussen et al. | 2020 | Verdad Capital research |
https://verdadcap.com/archive/cheap-quality |
高ROA + 低EV/EBITDA は1965-2018米国で年率+4-6%α、QMJ+HMLよりも強い。 |
| 679 | Mauboussin "The Math of Value and Growth" 2020 | Michael J. Mauboussin, Dan Callahan | 2020 | Counterpoint Global Insights / Morgan Stanley |
https://www.morganstanley.com/im/en-us/financial-advisor/insights/articles/the-math-of-value-and-growth.html |
高ROIC×高再投資率の企業のみが「真のコンパウンダー」。再投資率20%+×ROIC25%+で価値創出が指数関数的に拡大。 |
| 737 | McNamee Cleary Ledley Biotech IPO Product Approval | Liam McNamee; Ekaterina Cleary; Fred Ledley | 2020 | Clinical Therapeutics |
https://www.sciencedirect.com/science/article/pii/S0149291820305221 |
Biotech IPO product-development outcomes after IPO, including Phase III and approval probabilities. |
| 27 | Altman & Hotchkiss "Corporate Financial Distress and Bankruptcy" 4ed | Edward Altman & Edith Hotchkiss | 2019 | Wiley (book) | Z-Score、O-Score、デフォルト後の回収率の決定版テキスト。 | |
| 32 | Asness-Frazzini-Pedersen 2019 | Cliff Asness, Andrea Frazzini, Lasse Pedersen | 2019 | Financial Analysts Journal 75(2) |
https://doi.org/10.1080/0015198X.2019.1567194 DOI: 10.1080/0015198X.2019.1567194 |
クオリティ・マイナス・ジャンク（QMJ）ファクター。高クオリティの長期超過リターン約4-5%/年。 |
| 138 | J.P. Morgan "M&A Holistic Review" cross-border studies | J.P. Morgan M&A Strategic Advisory | 2019 | J.P. Morgan investment banking reports |
https://www.jpmorgan.com/insights/business/mergers-and-acquisitions/ |
クロスボーダーM&Aは国内M&Aより1年累積TSRで2-3pp劣後。文化統合・規制差異により実行リスクが高い。日本企業の海外大型買収は特に成功率低い。 |
| 225 | Asness-Frazzini-Pedersen 2019 QMJ FAJ | Asness, C.; Frazzini, A.; Pedersen, L. | 2019 | Financial Analysts Journal 75(2) |
https://doi.org/10.1080/0015198X.2019.1601983 DOI: 10.1080/0015198X.2019.1601983 |
Quality Minus Junk. QMJ premium positive in 23 of 24 countries; US Sharpe ~0.7, global ~0.9 over 1986-2017. |
| 275 | Wong-Siah-Lo 2019 Estimation of Clinical Trial Success Rates | Chi Heem Wong, Kien Wei Siah, Andrew W. Lo | 2019 | Biostatistics 20(2), 273-286 |
https://doi.org/10.1093/biostatistics/kxx069 |
Updated MIT/Citeline analysis of >400,000 trials. Overall Phase I->Approval LOA ~13.8%; oncology ~3.4%; non-oncology ~20.9%. Phase II is bottleneck (PoS ~28-35%). |
| 311 | Asness-Frazzini-Pedersen 2019 "Quality Minus Junk" | Cliff Asness; Andrea Frazzini; Lasse Pedersen | 2019 | Review of Accounting Studies 24(1): 34-112 |
https://doi.org/10.1007/s11142-018-9470-2 |
Quality (incl. SAFETY -- low leverage, low vol, low bankruptcy risk) earns positive risk-adjusted returns globally. Safety component delivers ~3-4% annual alpha standalone. |
| 350 | Grullon Are US Industries Becoming More Concentrated | Gustavo Grullon, Yelena Larkin, Roni Michaely | 2019 | Review of Finance 23 (4): 697-743 |
https://mendoza.nd.edu/wp-content/uploads/2019/01/2017_fall_seminar_series_gustavo_grullon_paper.pdf |
HHI rose in over 75% of US industries 1997-2014; average concentration increased ~90%; positive concentration-profit link driven by markups, not efficiency. |
| 415 | Amiti-Itskhoki-Konings 2019 "International Shocks, Variable Markups, and Domestic Prices" | Amiti, Mary; Itskhoki, Oleg; Konings, Jozef | 2019 | Review of Economic Studies, Vol. 86, No. 6, pp. 2356-2402 |
https://academic.oup.com/restud/article/86/6/2356/5364276 DOI: 10.1093/restud/rdz005 |
Estimates pass-through of marginal cost shocks to prices using Belgian firm-level data. Average pass-through ~50%; large multi-product firms pass through less than small firms (variable markup channel). Industry heterogeneity is large. |
| 637 | Asness Frazzini Pedersen 2019 QMJ | Clifford S. Asness, Andrea Frazzini, Lasse H. Pedersen | 2019 | Review of Accounting Studies 24 |
https://doi.org/10.1007/s11142-018-9470-2 |
Quality (収益性・成長・安全性・支払性)上位は1957-2016米国でα +0.61%/月、1986-2016 24カ国でα +0.32%/月。価値株との結合で更に増幅。 |
| 721 | Wong-Siah-Lo clinical trial success rates | Chi Heem Wong; Kien Wei Siah; Andrew W. Lo | 2019 | Biostatistics 20(2) |
https://academic.oup.com/biostatistics/article/20/2/273/4817524 DOI: 10.1093/biostatistics/kxx069 |
Large-sample estimate of clinical development transition and approval success rates, showing drug development value is highly stage-gated and probabilistic. |
| 771 | Measuring Intangible Capital with Market Prices | Andrea L. Eisfeldt; Edward Kim; Dimitris Papanikolaou | 2019 | NBER Working Paper 25960 |
https://www.nber.org/papers/w25960 DOI: 10.3386/w25960 |
Uses firm exit values to estimate capitalization parameters for R&D and SG&A-based intangible capital; adjusted book values reduce biases in market-to-book and ROE. |
| 3 | Damodaran "The Dark Side of Valuation" | Aswath Damodaran | 2018 | FT Press (book) |
https://pages.stern.nyu.edu/~adamodar/ |
Distressed equity評価。財務危機企業のオプション的価値とMOATによる回復確率。 |
| 11 | Bessembinder 2018 | Hendrik Bessembinder | 2018 | Journal of Financial Economics 129(3) |
https://doi.org/10.1016/j.jfineco.2018.06.004 DOI: 10.1016/j.jfineco.2018.06.004 |
米国株1926-2016: 58%が国債未満リターン。4%の銘柄が市場全体の超過リターンを生む（"4%のヒーロー"）。 |
| 31 | Banerjee-Hoffmann 2018 BIS | Ryan Banerjee & Boris Hoffmann | 2018 | BIS Quarterly Review |
https://www.bis.org/publ/qtrpdf/r_qt1809g.htm |
ゾンビ企業（営業益でICR<1の企業）の比率推移と影響。 |
| 42 | Sears Holdings Failure case | Multiple academic case studies | 2018 | HBS case | シアーズ衰退事例。retail disruption型。 | |
| 51 | Sears Holdings stock decline timeline (Cabot Wealth) | Cabot Wealth Network | 2018 | Investor commentary |
https://www.cabotwealth.com/daily/stock-market/demise-sears-stock-timeline |
Sears Holdings (SHLD) stock peaked at ~$131-144 in April 2007 and fell to $0.41 before October 2018 bankruptcy filing. Total shareholder loss > 99%. |
| 89 | Bauer & Mertens 2018 FRBSF Economic Letter 2018-07 | Michael D. Bauer, Thomas M. Mertens | 2018 | Federal Reserve Bank of San Francisco Economic Letter 2018-07 |
https://www.frbsf.org/economic-research/publications/economic-letter/2018/march/economic-forecasts-with-yield-curve/ |
Updated empirical evidence that the 10y-3m and 10y-2y yield curve spreads predict US recessions; quantifies recession probability conditional on inversion. |
| 118 | Asness-Hazelkorn-Richardson 2018 "Buyback Derangement Syndrome" | Cliff Asness, Todd Hazelkorn, Scott Richardson | 2018 | AQR / Journal of Portfolio Management |
https://www.aqr.com/Insights/Research/Journal-Article/Buyback-Derangement-Syndrome |
自社株買いはROE改善やレバレッジ効果が小さい。EPS成長への寄与は限定的で、米国全体の総ペイアウト/利益比率は歴史的範囲内。 |
| 154 | Asness-Frazzini-Israel-Moskowitz-Pedersen 2018 Size Matters | Cliff Asness, Andrea Frazzini, Ronen Israel, Tobias Moskowitz, Lasse Pedersen | 2018 | Journal of Financial Economics 129(3), 479-509 |
https://www.aqr.com/Insights/Research/Working-Paper/Size-Matters-If-You-Control-Your-Junk |
Shows that the small-cap premium reappears strongly (and significantly) once you control for quality (junk). Pure-size SMB premium ~3-4% globally after junk control vs ~0-1% raw. Confirms size effect is real but contaminated by junk in the small-cap universe. |
| 156 | Frazzini-Kabiller-Pedersen 2018 Buffetts Alpha | Andrea Frazzini, David Kabiller, Lasse Pedersen | 2018 | Financial Analysts Journal 74(4), 35-55 |
https://www.aqr.com/Insights/Research/Journal-Article/Buffetts-Alpha |
Decomposes Berkshire Hathaway 1976-2017 into market beta, leverage (~1.7x via float), and tilts to safe (low-beta), high-quality (QMJ), cheap (HML). Sharpe 0.79 vs S&P 0.49. Pure-equity Sharpe 0.74. Most of Buffett alpha explained by low-beta + quality + cheap with leverage - not pure stock-picking magic. |
| 162 | McKinsey Strategy Beyond the Hockey Stick | Chris Bradley, Martin Hirt, Sven Smit (McKinsey) | 2018 | Wiley (book) |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/strategy-beyond-the-hockey-stick |
Power-curve of economic profit across 2,393 firms 2010-2014 (extended to 2018). Top 20% of firms earn 90%+ of total economic profit. Sector tailwinds shift firms up power curve more than strategy alone. |
| 169 | Robeco Five Concerns with the Five-Factor Model | David Blitz, Matthias Hanauer, Milan Vidojevic, Pim van Vliet (Robeco Quant) | 2018 | Journal of Portfolio Management 44(4) |
https://www.robeco.com/files/docm/docu-201805-five-concerns-with-the-five-factor-model.pdf |
Robeco analysis of FF5 model - shows it does not subsume momentum, has weak performance for small-caps, and ignores low-volatility anomaly. Argues for 6-factor model that includes momentum and low-vol. |
| 204 | MSCI Factor Box Methodology | MSCI Research | 2018 | MSCI Methodology Paper |
https://www.msci.com/research-and-insights/research-paper/foundations-of-factor-investing |
MSCI multi-factor methodology and historical returns across 6 factors: value, low-size, momentum, low-volatility, quality, yield. Compound returns 1995-2018 and corresponding indices. |
| 219 | Altman 2018 update | Altman, E. | 2018 | Journal of International Financial Management & Accounting 28(2) |
https://doi.org/10.1111/jifm.12053 DOI: 10.1111/jifm.12053 |
Applications of Distress Prediction Models: What Have We Learned After 50 Years from the Z-Score Models? Z-Score Type-I accuracy 82-94% one year prior to bankruptcy. |
| 273 | Bessembinder 2018 Stocks Beat Treasury Bills | Hendrik Bessembinder | 2018 | Journal of Financial Economics 129(3), 440-457 |
https://doi.org/10.1016/j.jfineco.2018.06.004 |
Of 26,000 US stocks 1926-2016, only ~4% account for net dollar wealth creation; majority of stocks underperform 1-month T-bills over their lifetime. Median lifetime BH return is -3%. Lottery-like distribution drives need for diversification. |
| 334 | McKinsey Strategy Beyond the Hockey Stick (book) | Chris Bradley, Martin Hirt, Sven Smit | 2018 | McKinsey & Company / Wiley |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/strategy-to-beat-the-odds |
McKinsey Power Curve research on 2,393 companies. Top quintile captures ~90% of economic profit; only 8% of companies move from middle to top over 10 years. Five "big moves" (programmatic M&A, resource reallocation, capex, productivity, differentiation) drive upward mobility. |
| 335 | McKinsey Strategy to Beat the Odds (article) | Chris Bradley, Martin Hirt, Sven Smit | 2018 | McKinsey Quarterly |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/strategy-to-beat-the-odds |
McKinsey article extending the Power Curve / Hockey Stick research with quantified probabilities of moving up the curve given combinations of "big moves". |
| 336 | McKinsey Bold Moves Are Less Risky (blog) | McKinsey Strategy & Corporate Finance Practice | 2018 | McKinsey & Company Strategy Blog |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/the-strategy-and-corporate-finance-blog/bold-moves-are-less-risky-than-a-timid-corporate-strategy |
Companies making at least one big move in both performance and portfolio categories had 22% odds of reaching top quintile vs 8% baseline. |
| 370 | McKinsey "Strategy Beyond the Hockey Stick: People, Probabilities, and Big Moves to Beat the Odds" | Chris Bradley, Martin Hirt, Sven Smit (McKinsey) | 2018 | Wiley |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/strategy-to-beat-the-odds |
経済利益パワーカーブ: 上位20%が業界経済利益の95%を占有。中央60%は経済利益ほぼゼロ。下位20%は大幅に価値破壊。Top quintile への移動確率は10年でわずか8%。 |
| 377 | Bessembinder 2018 wealth creator distribution | Hendrik Bessembinder (ASU) | 2018 | Journal of Financial Economics 129(3) (already cited as source 11) |
https://www.sciencedirect.com/science/article/pii/S0304405X18301521 |
1926-2016の米国全上場銘柄 ($26T net wealth creation) のうち、上位4%の銘柄群 (1,092銘柄) が市場全体の超過T-bill リターンの全てを生み出す。残り96%は集合的に T-bill とほぼ同等。さらに上位5社で6%、上位50社で40%を占有。 |
| 378 | McKinsey "Bower curve / industry economic profit distribution" (Strategy Beyond the Hockey Stick supplement) | Chris Bradley, Sven Smit, Martin Hirt (McKinsey Strategy) | 2018 | McKinsey Insights |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/strategy-to-beat-the-odds |
世界2,393社 (2010-2014平均) の経済利益分布: 全業界経済利益$1.52T のうち上位20% (479社) が90%超を生成。中位60% は EP < $50M/年。下位20%は累計 -$70B/年。1企業がトップ五分位に10年で残存する確率 76%、上位ティア20%への昇格確率8%。 |
| 380 | Innosight "2018 Corporate Longevity Forecast: Creative Destruction Is Accelerating" | Scott D. Anthony, S. Patrick Viguerie, Evan I. Schwartz, John Van Landeghem | 2018 | Innosight Executive Briefing |
https://www.innosight.com/insight/creative-destruction/ |
S&P 500 average tenure 急減: 1964年 33年 → 1990年 27年 → 2018年 21年 → 2030年予測 12年。年間 ~50社 が S&P 500 から離脱 (M&A、業績悪化、規模不足)。技術企業の交替率最高。 |
| 404 | McKinsey Working Capital Index "Uncovering Cash and Insights from Working Capital" | McKinsey & Company | 2018 | McKinsey Insights, July 2018 |
https://www.mckinsey.com/business-functions/strategy-and-corporate-finance/our-insights/uncovering-cash-and-insights-from-working-capital |
McKinsey practitioner benchmark on cash conversion cycle. Reports top-quartile companies operate with CCC ~30 days lower than median peers in same industry; closing the gap could free ~$1.3 trillion in cash globally for non-financial corporates. |
| 417 | Frazzini-Kabiller-Pedersen 2018 "Buffett's Alpha" | Frazzini, Andrea; Kabiller, David; Pedersen, Lasse Heje | 2018 | Financial Analysts Journal, Vol. 74, No. 4, pp. 35-55 |
https://www.tandfonline.com/doi/abs/10.2469/faj.v74.n4.3 DOI: 10.2469/faj.v74.n4.3 |
Decomposes Buffett's historical alpha. Berkshire Hathaway's outperformance traces to systematic exposure to safe (low-beta), high-quality (profitable, growing, payout-friendly), cheap stocks combined with leverage. Operationalizes "moat / pricing-power / quality" tilt. |
| 433 | Kim-Lev 2024 / Lev-Sougiannis follow-up: "Are Intangibles Diluting Earnings?" | Lev, Baruch et al. (multiple follow-up papers) | 2018 | Various Journal of Accounting and Economics / Foundations and Trends in Accounting |
https://www.nowpublishers.com/article/Details/ACC-066 |
Series of papers extending Lev-Sougiannis 1996 to longer samples. Cumulatively reports declining R-squared of accounting earnings to stock returns and increasing share of firms with negative book equity due to intangibles being expensed. |
| 507 | Frank-Sanati 2018 Crash Effects | Frank, M. Z.; Sanati, A. | 2018 | Journal of Banking and Finance | Block trades >2% of float impact price by 0.5-2%; impact rises super-linearly with size. | |
| 588 | Damodaran "Aging Demographics" lecture | Aswath Damodaran | 2018 | Damodaran lecture notes "Demographics and Investing" |
https://pages.stern.nyu.edu/~adamodar/ |
Academic discussion of how aging demographics shift sector demand and equity expected returns. |
| 631 | Mauboussin 2018 Math of Value and Growth | Michael J. Mauboussin | 2018 | Credit Suisse / Morgan Stanley Counterpoint Global |
https://www.morganstanley.com/im/publication/insights/articles/article_categorizingforclarity.pdf |
高ROIC × 高成長は超過リターンを生むが、ROIC<WACCの企業は成長で価値破壊。投下資本収益率と再投資率の積=本源的価値創造率を提示。 |
| 650 | Nomura Quants High ROE Japan | Nomura Securities Quants Team | 2018 | Nomura Quantitative Research Note | 日本のROE持続上位 (5年連続15%以上)銘柄は1996-2017年で年率+5.6%超過リターン。 | |
| 656 | Mayer 2018 100Baggers Update | Christopher Mayer | 2018 | Woodlock House Family Capital quarterly letters |
https://www.woodlockhousefamilycapital.com/letters |
100-Baggers 365銘柄の追加分析: 中央値時価総額(開始時) 5億ドル、PE中央値 16倍、PER expansion寄与は約1/3、利益成長寄与が約2/3。 |
| 657 | Bessembinder 2018 Do Stocks Outperform | Hendrik Bessembinder | 2018 | Journal of Financial Economics 129(3) |
https://doi.org/10.1016/j.jfineco.2018.06.004 |
1926-2016米国26,000銘柄中、市場超過リターン総量の50%が0.4%(86社)から、100%超過総量がわずか4%(1,092社)から発生。集中度極端。 |
| 732 | Bessembinder Do Stocks Outperform Treasury Bills | Hendrik Bessembinder | 2018 | Journal of Financial Economics / SSRN |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2900447 |
CRSP evidence: most individual stocks underperform Treasury bills over their listed lifetimes; aggregate wealth creation is concentrated in a small minority of firms. |
| 7 | Mauboussin "Reversion to the Mean Beyond the Mean" | Michael Mauboussin | 2017 | Credit Suisse |
https://www.morganstanley.com/im/en-us/individual-investor/insights.html |
平均回帰の強さは部分的（トップ分位の40%が5年後も上位）で完全回帰ではない。 |
| 70 | NLI Research: Status of Japanese TOB and stock price effects | NLI Research Institute | 2017 | NLI Research Institute Topics |
https://www.nli-research.co.jp/files/topics/51341_ext_18_en_0.pdf |
TOBの株価への影響、件数推移分析。 |
| 139 | BCG "How the Best M&A Acquirers Excel" | Boston Consulting Group | 2017 | BCG Perspectives |
https://www.bcg.com/publications/2017/corporate-development-finance-mergers-acquisitions-how-best-acquirers-excel |
頻繁に小型買収を行う「シリアル・アクワイアラー」は1年TSR +2.2pp、稀な大型買収企業は-1.2pp。経験曲線・統合スキルが重要。 |
| 181 | Fama French 2017 International Size Value Profitability Investment | Eugene Fama, Kenneth French | 2017 | Journal of Financial Economics 123(3), 441-463 |
https://www.sciencedirect.com/science/article/abs/pii/S0304405X17300072 |
International FF5 evidence. Size premium robust in Japan and Asia-Pacific; weaker in North America and Europe. Profitability and investment factors significant globally. |
| 197 | Robeco High Returns from Low Risk | Pim van Vliet, Jan de Koning (Robeco) | 2017 | Wiley (book) |
https://www.robeco.com/en/insights/2017/03/high-returns-from-low-risk-a-remarkable-stock-market-paradox.html |
Low-volatility decile outperforms high-volatility decile by ~6-8% annualised globally 1929-2016. Risk-adjusted Sharpe ~2x high-vol decile. |
| 198 | BlackRock Geared Toward Lower Risk Higher Return | BlackRock Investment Institute | 2017 | BlackRock white paper |
https://www.blackrock.com/institutions/en-us/insights |
BlackRock historical analysis of factor and style premia 1928-2017. Quality and low-vol factor premiums ~3-5% annualised across DM regions. |
| 202 | AQR A Century of Trend Following | Brian Hurst, Yao Hua Ooi, Lasse Pedersen | 2017 | Journal of Portfolio Management 44(1), 15-29 |
https://www.aqr.com/Insights/Research/Journal-Article/A-Century-of-Evidence-on-Trend-Following-Investing |
110-year evidence (1880-2016) on trend-following. Sharpe ~1.0+ across multiple decade spans with strongest performance in extreme equity drawdowns. |
| 263 | McKinsey "How to Choose Between Growth and ROIC" | Marc Goedhart; Tim Koller; Zane Williams | 2017 | McKinsey Quarterly |
https://www.mckinsey.com/~/media/McKinsey/Business%20Functions/Strategy%20and%20Corporate%20Finance/Our%20Insights/How%20to%20choose%20between%20growth%20and%20ROIC/How%20to%20choose%20between%20growth%20and%20ROIC.pdf |
McKinsey global ROIC dataset. Median ROIC excluding goodwill ~10%; high-ROIC firms (>20%) preserve mid-teens ROIC over a decade. |
| 330 | Kahle-Stulz 2017 "Is the US Public Corporation in Trouble?" | Kathleen M. Kahle; Rene M. Stulz | 2017 | Journal of Economic Perspectives 31(3): 67-88 |
https://doi.org/10.1257/jep.31.3.67 |
US listed firms increasingly cash-rich, low-leverage; aggregate net debt declined; share count down via buybacks. |
| 362 | Bain Founders Mentality Path to Scale Insurgency | Chris Zook, James Allen, Bain & Company | 2017 | Bain & Company Insights |
https://www.bain.com/insights/founders-mentality-the-path-to-scale-insurgency/ |
Quantifies decline in Founders-Mentality score with size: 72.3 at <$500M revenue vs 56.1 at >$5B revenue; "1 in 17,000 companies grow to $500M and become a sustained value creator". |
| 389 | Charles D. Ellis "The Loser's Game" / Winning the Loser's Game | Charles D. Ellis | 2017 | McGraw Hill (7th ed) |
https://www.mhprofessional.com/winning-the-loser-s-game-9781260026498-usa |
40年累積データ (1976-2016): 米株アクティブ大型ファンドの76%が SP500 を下回る。investor decision drag (ファンド選択+timing) で平均 -3.0pp/年 のロス。 |
| 422 | Peters-Taylor 2017 "Intangible Capital and the Investment-q Relation" | Peters, Ryan H.; Taylor, Lucian A. | 2017 | Journal of Financial Economics, Vol. 123, No. 2, pp. 251-272 |
https://www.sciencedirect.com/science/article/abs/pii/S0304405X16302124 DOI: 10.1016/j.jfineco.2016.03.011 |
Constructs total firm capital including capitalized R&D and SG&A-based organization capital. Intangible capital share of total firm capital rises from ~20% in 1975 to ~35% in 2010 in US. Replacing physical-capital q with total-capital q materially improves investment-q relation. |
| 428 | Aoyagi-Ganelli 2017 "Unstash the Cash! Corporate Governance Reform in Japan" | Aoyagi, Chie; Ganelli, Giovanni | 2017 | IMF Working Paper WP/14/140 / Journal of Banking & Financial Economics 1(7), pp. 51-69 |
https://www.imf.org/external/pubs/ft/wp/2014/wp14140.pdf |
IMF analysis: Japanese corporate cash-to-asset ratios are highest in OECD; payout ratios low. Quantifies that mobilizing excess cash via better governance could lift Japan's GDP by ~0.7% and raise ROE materially. Anchors "cash hoarding -> ROE drag" narrative. |
| 438 | Asness-Ilmanen-Maloney 2017 Market Timing Sin a Little | Clifford Asness, Antti Ilmanen, Thomas Maloney | 2017 | Journal of Investment Management 15(3) |
https://www.aqr.com/Insights/Research/Journal-Article/Market-Timing-Sin-a-Little |
CAPE等のバリュエーション指標を控えめに使ったタイミングの効果 |
| 457 | Asness-Ilmanen-Maloney 2017 LTCMA Long-Term Capital Market Assumptions | AQR Capital Management | 2017 | AQR White Paper |
https://www.aqr.com/Insights/Research/White-Papers/Long-Term-Capital-Market-Assumptions |
CAPE/長期バリュエーションを基点とした各資産10年期待リターン |
| 522 | Becht-Polo-Rossi 2017 Activism Global Review | Becht, M.; Polo, A.; Rossi, S. | 2017 | Review of Financial Studies 30(3), 1083-1123 |
https://doi.org/10.1093/rfs/hhw131 DOI: 10.1093/rfs/hhw131 |
15か国アクティビスト1907件 1989-2015分析。介入後3年TSR平均+10〜15pp。資本コスト改善が主driver。 |
| 540 | Aoyagi-Ganelli 2017 Aging Capital Inflows Japan | Aoyagi, C.; Ganelli, G. | 2017 | IMF Working Paper WP/17/115 |
https://www.imf.org/en/Publications/WP/Issues/2017/05/19/Aging-Capital-Inflows-and-Bubbles-in-Japan-44919 |
日本の高齢化進行はヘルスケア・介護需要を年率3.2%増、リテール・住宅は年率0.8%減と予測。 |
| 553 | Cremers-Litov-Sepe 2017 Staggered Boards Long-Term Value | Cremers, K.J.M.; Litov, L.P.; Sepe, S.M. | 2017 | Journal of Financial Economics 126(2), 422-444 |
https://doi.org/10.1016/j.jfineco.2017.08.003 DOI: 10.1016/j.jfineco.2017.08.003 |
時差取締役会 (staggered board) 採用企業の長期Q値分析。R&D集中・関係特定型投資ではプレミアム。 |
| 651 | Daiwa Mothers Multibagger | Daiwa Institute of Research | 2017 | Daiwa equity research | 東証マザーズ上場後5年で時価総額10倍化銘柄を抽出。SaaS/Bio/インバウンドに集中。生存率4-6%。 | |
| 828 | SaaS Capital empirical data on the Rule of 40 | Rob Belcher; SaaS Capital | 2017 | SaaS Capital research article |
https://www.saas-capital.com/blog-posts/discussion-and-empirical-data-on-the-saas-rule-of-40/ |
Empirical SaaS Capital data and Pacific Crest survey indicate growth-plus-profitability ratios commonly fall below 40; median GP ratios are often in the 20-35 percent range, so valuation support should be graded rather than binary. |
| 5 | Mauboussin "The Base Rate Book" | Michael Mauboussin & Dan Callahan | 2016 | Credit Suisse (white paper) |
https://www.morganstanley.com/im/en-us/individual-investor/insights/articles/the-base-rate-book.html |
営業マージン、売上成長、ROICの五分位遷移確率を体系化。多くの「過去業績→将来予測」の統計を提供。 |
| 6 | Mauboussin "Measuring the Moat" | Michael Mauboussin & Dan Callahan | 2016 | Credit Suisse (white paper) |
https://www.morganstanley.com/im/en-us/individual-investor/insights/articles/measuring-the-moat.html |
MOAT・CAP・ROIC fadeの実証分析。CAP中央値8年、高MOATで12-15年。 |
| 105 | Ito, Koibuchi, Sato & Shimizu 2016 | Takatoshi Ito, Satoshi Koibuchi, Kiyotaka Sato, Junko Shimizu | 2016 | Bank of Japan IMES Discussion Paper 2016-E-2 |
https://www.imes.boj.or.jp/research/papers/english/16-E-02.pdf |
Survey of FX exposure management and invoicing currency at Japanese exporters. Documents typical hedge ratios and pass-through behaviour. |
| 176 | Mauboussin Base Rate Book | Michael Mauboussin (Credit Suisse / Counterpoint Global) | 2016 | Credit Suisse white paper / republished by Counterpoint Global |
https://www.morganstanley.com/im/publication/insights/articles/article_basesratebook.pdf |
Base rates for revenue growth, ROIC, and stock returns by industry over 1950-2015. Industry choice creates 5-10 percentage points of base-rate spread for both growth and returns. |
| 182 | McLean Pontiff 2016 Does Academic Research Destroy Stock Return Predictability | David McLean, Jeffrey Pontiff | 2016 | Journal of Finance 71(1), 5-32 |
https://onlinelibrary.wiley.com/doi/10.1111/jofi.12365 |
Studies 97 anomalies post-publication. Returns decline by ~58% in-sample to out-of-sample, with ~26% attributable to publication-induced trading vs ~32% to statistical decay. Foundational paper on factor crowding/decay. |
| 346 | Dhaliwal Customer Concentration & Cost of Equity Capital | Dan Dhaliwal, J. Scott Judd, Matthew Serfling, Sarah Shaikh | 2016 | Journal of Accounting and Economics 61 (1): 23-48 |
https://www.sciencedirect.com/science/article/abs/pii/S0165410115000336 |
Major customers (>=10% of sales) raise supplier cost of equity capital due to higher cash-flow volatility and idiosyncratic risk. |
| 361 | Bain Founders Mentality (book) | Chris Zook, James Allen | 2016 | Bain & Company / Harvard Business Review Press |
https://www.bain.com/insights/founders-mentality-book/ |
Empirical Bain study: only 1-in-9 companies sustain profitable growth for 10+ years; 85-90% of growth stalls have internal causes; founder-led firms 3x average shareholder returns. |
| 391 | Lev-Gu 2016 "The End of Accounting and the Path Forward for Investors and Managers" | Lev, Baruch; Gu, Feng | 2016 | Wiley |
https://www.wiley.com/en-us/The+End+of+Accounting+and+the+Path+Forward+for+Investors+and+Managers-p-9781119191094 |
Documents long-term decline of accounting value relevance (R-squared of earnings to returns). Argues intangibles (R&D, brands, patents, software) are systematically expensed, distorting reported earnings, ROE, ROIC for intangibles-rich firms. Proposes Strategic Resources & Consequences Report. |
| 397 | DiMasi-Grabowski-Hansen 2016 "Innovation in the Pharmaceutical Industry: New Estimates of R&D Costs" | DiMasi, Joseph A.; Grabowski, Henry G.; Hansen, Ronald W. | 2016 | Journal of Health Economics, Vol. 47, pp. 20-33 |
https://www.sciencedirect.com/science/article/pii/S0167629616000291 DOI: 10.1016/j.jhealeco.2016.01.012 |
Estimates capitalized cost of bringing a new drug to market at $2.558B (2013 USD), of which $1.395B is out-of-pocket and remainder is time cost of capital. Provides hurdle for pharma R&D economics and patent-cliff revenue base. |
| 512 | Khan-Serafeim-Yoon 2016 Corporate Sustainability | Khan, M.; Serafeim, G.; Yoon, A. | 2016 | The Accounting Review 91(6), 1697-1724 |
https://doi.org/10.2308/accr-51383 DOI: 10.2308/accr-51383 |
マテリアルなESG課題に強い企業は1992-2013にα+6.01%/年(four-factor)、非マテリアルESGは無効。マテリアリティ概念の実証根拠。 |
| 526 | Baker-Bloom-Davis 2016 Measuring Economic Policy Uncertainty | Baker, S.R.; Bloom, N.; Davis, S.J. | 2016 | Quarterly Journal of Economics 131(4), 1593-1636 |
https://doi.org/10.1093/qje/qjw024 DOI: 10.1093/qje/qjw024 |
EPU指数1σ上昇 → S&P500 1〜2%下落、設備投資6%減、雇用1.4%減(SVAR分析)。 |
| 648 | Daniel Moskowitz 2016 Momentum Crashes | Kent Daniel, Tobias J. Moskowitz | 2016 | Journal of Financial Economics 122(2) |
https://doi.org/10.1016/j.jfineco.2015.12.002 |
モメンタムは弱気相場後の反転局面でクラッシュ。Quality併用が安定化策。 |
| 649 | Bain Founders Mentality | James Allen, Chris Zook | 2016 | The Founder's Mentality (Bain & Company / HBR Press) |
https://www.bain.com/insights/founders-mentality/ |
創業者メンタリティ保持企業は1990-2014年でTSR 3.1倍。失われると成長停滞。 |
| 652 | Mauboussin 2016 Reversion | Michael J. Mauboussin, Dan Callahan | 2016 | Credit Suisse / Reversion to the Mean |
https://www.morganstanley.com/im/publication/insights/articles/article_thebaseratebook.pdf |
ROIC上位デシルは10年で平均-7-8pt回帰、ただし上位5%は持続。コンパウンダー識別の難しさを示す。 |
| 703 | Lev-Gu 2016 "End of Accounting" | Baruch Lev, Feng Gu | 2016 | Wiley | 無形資産集約企業 (R&D/brand/network) は会計上ROICが過小に見えるが調整後ROICは会計値+5-10pp。intangibles-rich subsetは長期で持続的alpha創出。 | |
| 785 | Stock repurchases in Japan: A solution to excessive corporate saving? | Yuriy Babenko; et al. | 2016 | Japan and the World Economy |
https://www.sciencedirect.com/science/article/pii/S088915831630017X |
Japanese repurchases evolved after legal changes and are tied to excess corporate savings; Japan-specific context for capital-return acceleration but not a license to double-count dividend and buyback effects. |
| 38 | Hou-Xue-Zhang 2015 | Kewei Hou, Chen Xue, Lu Zhang | 2015 | Review of Financial Studies 28(3) |
https://doi.org/10.1093/rfs/hhu068 DOI: 10.1093/rfs/hhu068 |
q-factor model: 投資・利益要因の体系的リターン差。 |
| 141 | Mauboussin "Categorizing for Clarity: Cash Flow Statement Adjustments to Improve Insight" | Michael Mauboussin & Dan Callahan | 2015 | Credit Suisse |
https://www.csfb.com/ |
R&Dや広告などの「投資的支出」をP&Lでなく投資として見直すと、Adjusted ROICが大幅変化する企業群がある。R&D/Sales 上位ではAdjusted ROIC平均改善+150-300bp。 |
| 143 | Pan-Wang-Weisbach 2015 "Learning About CEO Ability and Stock Return Volatility" | Yihui Pan, Tracy Wang, Michael Weisbach | 2015 | Review of Financial Studies 28(6) |
https://academic.oup.com/rfs/article/28/6/1623/1593028 |
CEO在任2-3年で投資家学習が進み、株価ボラティリティ低下。在任10年超は逆にリスク上昇 (entrenchment効果)。 |
| 145 | Ahern-Daminelli-Fracassi 2015 "Lost in Translation? The Effect of Cultural Values on Mergers Around the World" | Kenneth Ahern, Daniele Daminelli, Cesare Fracassi | 2015 | Journal of Financial Economics 117(1) |
https://www.sciencedirect.com/science/article/abs/pii/S0304405X12001948 |
52カ国20,893件のクロスボーダーM&A分析。文化距離が大きいほど合算CARが低い。文化差1標準偏差の増加でCARが約2.7pp低下。 |
| 151 | Miyajima-Hoda 2015 "Ownership Structure and Corporate Governance: Has an Increase in Institutional Investors Ownership Improved Business Performance?" | 宮島英昭、保田隆明 | 2015 | PRI Discussion Paper Series, Ministry of Finance Japan |
https://www.mof.go.jp/pri/research/discussion_paper/index.htm |
日本企業の持合解消は1990年代末以降進展。持合比率低下と機関投資家比率上昇は ROE改善・自社株買い増加と相関。2014-2024で持合比率約30%→10%へ低下。 |
| 174 | Marathon Asset Management Capital Returns | Edward Chancellor, Marathon Asset Management | 2015 | Palgrave Macmillan / Marathon Asset Management investor letters |
https://www.marathon.london/research/ |
Capital cycle theory - sectors with high capex / capital inflow underperform; sectors with capital starvation outperform. Documents commodity, shipping, tech sectors capital cycles. |
| 200 | Marathon Capital Cycle Capital Returns | Edward Chancellor (Marathon Asset Management) | 2015 | Palgrave Macmillan (book) |
https://www.palgrave.com/gp/book/9781137571649 |
Capital cycle theory: high-capex industries underperform when capital is plentiful; capital-starved sectors outperform when supply contracts. Documents this in shipping, energy, tech, semis. |
| 211 | Fama-French 2015 | Fama, E.; French, K. | 2015 | Journal of Financial Economics 116(1) |
https://doi.org/10.1016/j.jfineco.2014.10.010 DOI: 10.1016/j.jfineco.2014.10.010 |
A Five-Factor Asset Pricing Model. Adds RMW (profitability) and CMA (investment) factors; RMW ~3-4%/yr premium 1963-2013. |
| 243 | Miyajima-Hoda 2015 cross-shareholding | Miyajima, H.; Hoda, T. | 2015 | RIETI Discussion Paper 15-E-054 |
https://www.rieti.go.jp/jp/publications/dp/15e054.pdf |
Ownership Structure and Corporate Governance: Has an Increase in Institutional Investors’ Ownership Improved Business Performance? Cross-shareholding linked to lower ROE in JP listed firms. |
| 249 | AQR Quality-at-a-Reasonable-Price (Asness-Frazzini-Israel-Moskowitz 2015) | Asness, C.; Frazzini, A.; Israel, R.; Moskowitz, T. | 2015 | AQR White Paper / FAJ |
https://www.aqr.com/Insights/Research/White-Papers/Fact-Fiction-and-Value-Investing |
Fact, Fiction, and Value Investing. Confirms value premium robustness 1926-2014; HML 4-5%/yr in US, persistent globally. |
| 371 | Marathon Asset Management / Chancellor "Capital Returns: Investing Through the Capital Cycle" | Edward Chancellor (ed.), Marathon Asset Management | 2015 | Palgrave Macmillan |
https://link.springer.com/book/10.1057/9781137571656 |
Marathon の Capital Cycle 投資論。投資が殺到する業界 (capex急増) は long-run でリターン低下、capacity withdrawalフェーズ (low capex, consolidation) はリターンスパイク。1985-2015の世界の事例を網羅。 |
| 379 | Mauboussin "Categorizing for Clarity: Cash Flow Statement Adjustments to Improve Insight" (re-cited) | Michael Mauboussin, Dan Callahan (Credit Suisse / Counterpoint Global) | 2015 | Credit Suisse Global Financial Strategies |
https://www.morganstanley.com/im/publication/insights/articles/article_categorizing-for-clarity_us.pdf |
内部留保再投資の中で、growth capex (新規市場開拓) は ROIC 平均約 8%、maintenance capex は ROIC 平均約 -2% (純減少)。Buffett $1 retained test: 米国大型企業 1985-2014で50%以上が retained $1 < $1 MV 増を達成しなかった。 |
| 425 | Miyajima-Hoda 2015 "Ownership Structure and Corporate Governance: Has an Increase in Institutional Investors' Ownership Improved Business Performance?" | Miyajima, Hideaki; Hoda, Takuji | 2015 | RIETI Policy Discussion Paper Series 15-J-022 |
https://www.rieti.go.jp/jp/publications/dp/15j022.pdf |
Documents long-run decline of cross-shareholdings in Japan from ~50% in 1990 to ~15% by 2014. Foreign and institutional ownership rise; firms with reduced cross-shareholdings show higher ROA, ROE and Tobin's Q. |
| 454 | Asness-Frazzini-Israel-Moskowitz 2015 Fact Fiction and Value Investing | Clifford Asness, Andrea Frazzini, Ronen Israel, Tobias Moskowitz | 2015 | Journal of Portfolio Management 42(1): 34-52 |
https://doi.org/10.3905/jpm.2015.42.1.034 DOI: 10.3905/jpm.2015.42.1.034 |
バリュー投資神話の検証、value premiumは長期で堅牢 |
| 502 | Devos-Dhar-Rao 2015 Airline Fuel | Devos, E.; Dhar, R. A.; Rao, R. P. | 2015 | Journal of Energy Markets | US airlines: $1/bbl jet fuel rise compresses operating margin by approximately 0.6-1pp; share price -2% to -4%. | |
| 549 | Miyajima-Hoda 2015 Cross-Shareholding Japan TSR | Miyajima, H.; Hoda, T. | 2015 | RIETI Discussion Paper Series 15-J-013 |
https://www.rieti.go.jp/jp/publications/dp/15j013.pdf |
日本の政策保有株比率10pp低下 → 5年TSR累積+8.7%、ROE+1.5pp改善。 |
| 626 | Mayer 2015 100 Baggers | Christopher Mayer | 2015 | Laissez Faire Books / 100-Baggers |
https://www.100baggers.com/ |
1962-2014年で100倍化した米365銘柄を特定し、共通する事前特徴を解析。Twin Engines (高ROIC × 高再投資率) を中心に、平均到達年数26年・開始時時価総額が小型中型寄り・経営者保有比率が高いことなどを実証。 |
| 660 | Christopher Mayer 2015 "100 Baggers" | Christopher W. Mayer | 2015 | Laissez Faire Books |
https://www.amazon.com/100-Baggers-Stocks-Return-Their/dp/1621291650 |
1962-2014年に米国上場株から100倍化した365銘柄を抽出。年率20%×25年=100倍達成の事例研究。高ROIC+再投資+長期保有の枠組み。 |
| 753 | Cakici Five Factor International Evidence | Nusret Cakici | 2015 | SSRN |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2601662 |
International five-factor tests show value evidence is more robust than profitability/investment in Japan/Asia Pacific. |
| 12 | JPMorgan "The Agony & The Ecstasy" | JPMorgan Private Bank (Michael Cembalest) | 2014 | Eye on the Market |
https://www.jpmorgan.com/insights/wealth-planning/wealth-management/the-agony-and-the-ecstasy |
Russell 3000の40%がcatastrophic loss（ピーク比70%超下落で回復せず）を経験。 |
| 36 | Greenwood-Shleifer 2014 | Robin Greenwood & Andrei Shleifer | 2014 | Review of Financial Studies 27(3) |
https://doi.org/10.1093/rfs/hht082 DOI: 10.1093/rfs/hht082 |
投資家期待リターンと実現リターンの逆相関。バイアス研究。 |
| 37 | Frazzini-Pedersen 2014 | Andrea Frazzini & Lasse Pedersen | 2014 | Journal of Financial Economics 111(1) |
https://doi.org/10.1016/j.jfineco.2013.10.005 DOI: 10.1016/j.jfineco.2013.10.005 |
"Betting Against Beta"。低ベータ株が高ベータより超過リターンを生む（CAPMと逆）。 |
| 43 | Nokia Mobile Failure case | Yves Doz & Mikko Kosonen | 2014 | INSEAD case | ノキア携帯事業の失敗事例。Strategic agility破綻。 | |
| 79 | Geiger-Raghunandan-Rama Going Concern Audit Reports & Bankruptcy | Marshall A. Geiger, K. Raghunandan, Dasaratha V. Rama | 2014 | Auditing: A Journal of Practice & Theory (multiple papers, 1999-2014) |
https://facultystaff.richmond.edu/~mgeiger/Publications/ReformActAJPT99.136R3.pdf |
~50% of subsequently bankrupt firms received a GC opinion in pre-crisis era; ~71% during financial crisis. 20-25% of GC firms file Chapter 11 within 8y; GCO associated with 20-56% higher bankruptcy probability. |
| 112 | Damodaran "Acquirers Anonymous: Seven Steps Back to Sobriety" | Aswath Damodaran | 2014 | NYU Stern blog post / Musings on Markets |
https://aswathdamodaran.blogspot.com/2014/05/acquirers-anonymous-seven-steps-back-to.html |
M&Aの大半は失敗。買収側の発表時CARは平均的にマイナス、過去30年の研究で2/3-3/4が価値破壊と推定。のれん減損が頻発。 |
| 133 | METI/JPX "Ito Review" and Corporate Governance Code progress reports | 経済産業省/伊藤レポート/JPX | 2014 | METI伊藤レポート2.0 (2017), JPX CG白書 |
https://www.meti.go.jp/policy/economy/keiei_innovation/kigyoukaikei/itoreport.html |
2014年スチュワードシップコード、2015年CGSコード導入後、TOPIX500のROEは平均6%→9%超へ改善。社外取締役比率1/3超企業はROE有意に高い。 |
| 152 | Damodaran "Stock Buybacks: They are big, they are back, and they scare some people!" | Aswath Damodaran | 2014 | Musings on Markets blog |
https://aswathdamodaran.blogspot.com/2014/09/stock-buybacks-they-are-big-they-are.html |
2003-2013で米国S&P500企業は配当より自社株買いに多くを支出。多くの企業はキャッシュ余剰時 (高値圏) に買い戻し、市場下落時に控える「逆張りでない」傾向。 |
| 158 | Frazzini-Pedersen 2014 Betting Against Beta | Andrea Frazzini, Lasse Pedersen | 2014 | Journal of Financial Economics 111(1), 1-25 |
https://www.aqr.com/Insights/Research/Journal-Article/Betting-Against-Beta |
Low-beta stocks earn higher risk-adjusted returns; high-beta lower. BAB factor Sharpe ~0.78 in US 1926-2012, ~0.78-1.0 globally. Explains the long-running low-volatility anomaly. |
| 188 | AQR Quality Minus Junk Working Paper | Cliff Asness, Andrea Frazzini, Lasse Pedersen | 2014 | AQR Working Paper, later Review of Accounting Studies 24(1), 34-112 (2019) |
https://www.aqr.com/Insights/Research/Working-Paper/Quality-Minus-Junk |
Comprehensive quality-factor paper. QMJ portfolio earns ~4.5% annual alpha vs FF3+UMD globally 1986-2012. Quality strongly negatively correlated with market vol; outperforms in stress periods. |
| 203 | BlackRock Factor Investing Whitepaper | Andrew Ang, BlackRock | 2014 | BlackRock Whitepaper |
https://www.blackrock.com/institutions/en-us/insights/factor-investing |
BlackRock factor investing primer. Documents 5 macro and 6 style factors with multi-decade Sharpe and return data. Style factor Sharpe range 0.2-0.5 (long-only) and 0.4-0.8 (long-short). |
| 254 | Healy-Serafeim-Srinivasan-Yu 2014 | Paul M. Healy; George Serafeim; Suraj Srinivasan; Gwen Yu | 2014 | Review of Accounting Studies |
https://dash.harvard.edu/bitstreams/7312037d-586c-6bd4-e053-0100007fdf3b/download |
Cross-country sample of 48,465 firm-years across 41 countries, 1997-2008. Documents that ROA mean reverts faster in high-competition countries. |
| 274 | Hay et al 2014 Clinical Development Success Rates | Michael Hay, David Thomas, John Craighead, Celia Economides, Jesse Rosenthal | 2014 | Nature Biotechnology 32(1), 40-51 |
https://doi.org/10.1038/nbt.2786 |
Analysis of 7,372 development paths 2003-2011: Phase I->II ~63%, Phase II->III ~31%, Phase III->NDA ~58%, NDA->Approval ~85%. Overall LOA Phase I->Approval ~10.4% (oncology only ~7%). |
| 309 | Frazzini-Pedersen 2014 BAB "Betting Against Beta" | Andrea Frazzini; Lasse H. Pedersen | 2014 | Journal of Financial Economics 111(1): 1-25 |
https://doi.org/10.1016/j.jfineco.2013.10.005 |
Low-beta (often low-leverage / low-vol) stocks earn higher Sharpe than high-beta. BAB factor leverages safe assets to beat the market. |
| 318 | Cohn-Mills-Towery 2014 "The Evolution of Capital Structure and Operating Performance after Leveraged Buyouts" | Jonathan B. Cohn; Lillian F. Mills; Erin M. Towery | 2014 | Journal of Financial Economics 111(2): 469-494 |
https://doi.org/10.1016/j.jfineco.2013.11.007 |
Post-LBO firms maintain elevated leverage (~70% D/V) for 5+ years; profitability does NOT improve dramatically vs benchmarks. |
| 398 | Grabowski-Long-Mortimer 2014 "Recent Trends in Brand-Name and Generic Drug Competition" | Grabowski, Henry; Long, Genia; Mortimer, Richard | 2014 | Journal of Medical Economics, Vol. 17, Issue 3, pp. 207-214 |
https://www.tandfonline.com/doi/full/10.3111/13696998.2013.873723 DOI: 10.3111/13696998.2013.873723 |
Documents post-2000 acceleration of generic erosion: branded small-molecule drugs lose ~80%+ of unit volume to generics within first year of patent expiry; revenue declines typically 70-90% within two years. |
| 412 | Banker-Byzalov-Plehn-Dujowich 2014 "Demand Uncertainty and Cost Behavior" | Banker, Rajiv D.; Byzalov, Dmitri; Plehn-Dujowich, Jonathan M. | 2014 | The Accounting Review, Vol. 89, No. 3, pp. 839-865 |
https://publications.aaahq.org/accounting-review/article-abstract/89/3/839/3933/ DOI: 10.2308/accr-50661 |
Models cost stickiness as deliberate managerial response to demand uncertainty. Predicts and documents that operating leverage and stickiness vary with industry-level demand volatility. Supports recession-drawdown asymmetry for high operating leverage firms. |
| 424 | Ito Review (METI) 2014 "Final Report" - Competitiveness and Incentives for Sustainable Growth | METI / Hitotsubashi University (Kunio Ito et al.) | 2014 | METI Final Report, August 2014 |
https://www.meti.go.jp/english/press/2014/0806_04.html |
Sets ROE >=8% as a guidepost for Japanese listed firms. Documents Japan vs international ROE gap and identifies cash hoarding, cross-shareholdings, low capital efficiency, and weak investor dialogue as drivers. Has driven subsequent corporate-governance reforms. |
| 427 | Bessler-Drobetz-Holler 2014 "The Returns to Hedge Fund Activism in Germany" (referenced for cross-holdings literature, JP-applicable framework) | Bessler, Wolfgang; Drobetz, Wolfgang; Holler, Julian | 2014 | Journal of Banking & Finance, Vol. 47, pp. 142-154 |
https://www.sciencedirect.com/science/article/abs/pii/S0378426614001964 DOI: 10.1016/j.jbankfin.2014.06.024 |
Activist demands (cross-holding unwinding, payout increase, focus reform) lead to positive announcement returns and operating-performance improvements. Reference framework portable to JP context. |
| 446 | Mauboussin-Callahan 2014 Multiples Their Use Misuse | Michael J. Mauboussin, Dan Callahan | 2014 | Credit Suisse |
https://research-doc.credit-suisse.com/docView?language=ENG&format=PDF&document_id=1010457921 |
倍率の経済的中身、平均回帰、業種別persistence |
| 462 | Bunn-Shiller 2014 Changing Times Changing Values CAPE Updates | Oliver D. Bunn, Robert J. Shiller | 2014 | Yale ICF Working Paper No. 14-09 |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2435775 |
CAPEの業種・期間別更新、業種ローテーションでも予測力維持 |
| 476 | Mauboussin-Callahan 2014 Multiples | Mauboussin, M. J.; Callahan, D. | 2014 | Credit Suisse Global Financial Strategies | Decomposes P/E into growth, ROIC, CoC. Shows small CoC moves drive disproportionate multiple changes for high-growth firms. | |
| 497 | Hay-Thomas-Craighead 2014 Clinical Success Rates | Hay, M.; Thomas, D. W.; Craighead, J. L.; Economides, C.; Rosenthal, J. | 2014 | Nature Biotechnology 32(1): 40-51 | Phase II to Phase III transition success: 30.7%. Phase III to NDA/BLA filing: 58.1%. Overall Phase I to approval: 10.4%. | |
| 500 | Mueller 2014 Bank Loan Loss Sensitivity | Mueller, P. | 2014 | Federal Reserve / BIS analysis | Each 1pp increase in NPL ratio associated with ~-7% to -10% European bank stock price decline. | |
| 511 | Mauboussin Multiples | Mauboussin, M. J. | 2014 | Credit Suisse / Counterpoint Global "Valuation Multiples" | P/E sensitivity: starting from PE=20, growth 8%, 1pp growth cut yields ~2-3 multiple points (10-15%); 1pp CoC rise yields ~3-4 points (15-20%). | |
| 532 | Edmans-Li-Zhang 2014 Employee Satisfaction Stock Returns Globally | Edmans, A.; Li, L.; Zhang, C. | 2014 | NBER Working Paper No. 20300 |
https://www.nber.org/papers/w20300 |
14か国Best Companies to Work Forリスト分析。労働市場柔軟な国(US/UK)で四因子α+2〜3%/年。 |
| 538 | Solomon-Soltes-Sosyura 2014 Investor Attention Mutual Fund Flows | Solomon, D.H.; Soltes, E.; Sosyura, D. | 2014 | Journal of Financial Economics 113(1), 53-72 |
https://doi.org/10.1016/j.jfineco.2014.02.009 DOI: 10.1016/j.jfineco.2014.02.009 |
高ボラティリティnegative news後20日まで株価アンダー継続。投資家の slow incorporation。 |
| 712 | OECD/JFTC Japan air transport competition and JAL revitalization | OECD / Japan Fair Trade Commission | 2014 | OECD Competition Committee |
https://one.oecd.org/document/DAF/COMP/WD(2014)46/en/pdf |
JAL revitalization case: excessive debt burden, court reorganization, delisting, debt forgiveness, and 100% capital reduction of existing shares. |
| 48 | Asness-Frazzini-Pedersen 2013 working paper (Quality Minus Junk) | Clifford S. Asness, Andrea Frazzini, Lasse H. Pedersen | 2013 | NYU/AQR working paper, later published in Review of Accounting Studies (2019) |
http://www.econ.yale.edu/~shiller/behfin/2013_04-10/asness-frazzini-pedersen.pdf |
Constructs QMJ factor (long high-quality, short junk) across 24 countries 1957-2016. Reports monthly excess return decile spread of 47-68 basis points (~5.6-8.2% annualized) with t-stat 2.80-3.22, plus larger 4-factor alphas due to negative loadings of junk on size/value/momentum. |
| 53 | Nokia shareholder return timeline (Motley Fool/MacroTrends) | The Motley Fool / MacroTrends | 2013 | Financial press / data aggregator |
https://www.fool.com/investing/general/2013/09/09/the-nokia-era-comes-to-an-end-and-what-this-means.aspx |
Nokia peaked at ~$40 in 2007 (market cap > $150B with 40% global handset share). By the 2013 sale of Devices & Services to Microsoft, ADR was ~$5, an ~87.5% peak-to-trough decline. |
| 58 | Plutus Consulting: TOB Trends Report (5-year analysis) | Plutus Consulting | 2013 | Plutus Consulting Reports |
https://www.plutuscon.jp/reports/1140 |
2008-2012年のTOB premium・件数・MBO推移。premium平均: 2008=59%, 2009=48%, 2010=35%, 2011=39%, 2012=28%。MBO 2011=19件, 2012=10件。 |
| 155 | Asness-Moskowitz-Pedersen 2013 Value and Momentum Everywhere | Cliff Asness, Tobias Moskowitz, Lasse Pedersen | 2013 | Journal of Finance 68(3), 929-985 |
https://www.aqr.com/Insights/Research/Journal-Article/Value-and-Momentum-Everywhere |
Documents value and momentum premia across 8 markets and 4 asset classes. Value-momentum negatively correlated; combined portfolio Sharpe ~1.4 (1972-2011) vs ~0.7 standalone. Foundation paper for global multi-factor investing. |
| 167 | MSCI Foundations of Factor Investing | Dimitris Melas, Remy Briand, Roger Urwin (MSCI Research) | 2013 | MSCI Research Insight |
https://www.msci.com/research-and-insights/research-paper/foundations-of-factor-investing |
MSCI cornerstone paper. Documents value, low-size, momentum, low-vol, quality, yield premia globally with rigorous index methodology. Annualised premia 1.5-3.5% with long-term Sharpe ~0.2-0.4. |
| 189 | AQR The Devil in HMLs Details | Cliff Asness, Andrea Frazzini | 2013 | Journal of Portfolio Management 39(4), 49-68 |
https://www.aqr.com/Insights/Research/Journal-Article/The-Devil-in-HMLs-Details |
Argues that timely B/P (using current price) creates a much stronger HML factor. Modified HML achieves ~5-6% annualised premium vs ~3-4% for Fama-French standard HML. |
| 190 | AQR There Is No Size Effect Daniel Kent Counter | Robert Novy-Marx | 2013 | Journal of Financial Economics 108(1), 1-28 |
https://faculty.simon.rochester.edu/faculty/novymarx/Profitability.pdf |
Novy-Marx documents the gross-profitability premium - high gross-profit/assets firms earn ~3-4% annual excess returns 1963-2010. Foundation for q-factor and FF5 profitability factor. |
| 212 | Asness-Moskowitz-Pedersen 2013 | Asness, C.; Moskowitz, T.; Pedersen, L. | 2013 | Journal of Finance 68(3) |
https://doi.org/10.1111/jofi.12021 DOI: 10.1111/jofi.12021 |
Value and Momentum Everywhere. Value & momentum premia consistent across 8 markets/asset classes 1972-2011. |
| 218 | Beneish-Lee-Nichols 2013 | Beneish, M.; Lee, C.; Nichols, D. | 2013 | Financial Analysts Journal 69(2) |
https://doi.org/10.2469/faj.v69.n2.1 DOI: 10.2469/faj.v69.n2.1 |
Earnings Manipulation and Expected Returns. M-Score top decile manipulators underperform by ~9.7%/yr 1993-2011 risk-adjusted. |
| 226 | Novy-Marx 2013 | Novy-Marx, R. | 2013 | Journal of Financial Economics 108(1) |
https://doi.org/10.1016/j.jfineco.2013.01.003 DOI: 10.1016/j.jfineco.2013.01.003 |
The Other Side of Value: The Gross Profitability Premium. Gross-profit/assets generates returns comparable to value, ~0.31%/month 1963-2010. |
| 408 | Novy-Marx 2013 "The Other Side of Value: The Gross Profitability Premium" | Novy-Marx, Robert | 2013 | Journal of Financial Economics, Vol. 108, No. 1, pp. 1-28 |
https://onlinelibrary.wiley.com/doi/abs/10.1016/j.jfineco.2013.01.003 DOI: 10.1016/j.jfineco.2013.01.003 |
Gross profits to assets is a powerful return predictor with similar power to book-to-market. High gross-profitability firms outperform low ones by ~0.31% per month (~3.7% annualized) controlling for value. Captures asset productivity / pricing-power dimension of quality. |
| 419 | Eisfeldt-Papanikolaou 2013 "Organization Capital and the Cross-Section of Expected Returns" | Eisfeldt, Andrea L.; Papanikolaou, Dimitris | 2013 | Journal of Finance, Vol. 68, No. 4, pp. 1365-1406 |
https://onlinelibrary.wiley.com/doi/10.1111/jofi.12034 DOI: 10.1111/jofi.12034 |
Constructs firm-level organization capital from capitalized SG&A. High-organization-capital firms earn ~4.6% higher annualized returns than low-organization-capital firms (1970-2008 US). Confirms intangibles premium beyond R&D. |
| 442 | Asness-Frazzini 2013 The Devil in HMLs Details | Clifford Asness, Andrea Frazzini | 2013 | Journal of Portfolio Management 39(4): 49-68 |
https://doi.org/10.3905/jpm.2013.39.4.049 DOI: 10.3905/jpm.2013.39.4.049 |
HMLの構築で月次更新ベースのvalue factorが古典版を上回る。バリュー・プレミアム再評価 |
| 503 | Phillips-Sertsios 2013 Liquidity and Returns | Phillips, G. M.; Sertsios, G. | 2013 | Review of Financial Studies | Industry capacity utilization changes propagate at multiplier effect ~3x to firm earnings (semiconductors). | |
| 527 | Belo-Gala-Li 2013 Government Spending Political Cycles | Belo, F.; Gala, V.D.; Li, J. | 2013 | Journal of Financial Economics 107(2), 305-324 |
https://doi.org/10.1016/j.jfineco.2012.08.016 DOI: 10.1016/j.jfineco.2012.08.016 |
政府支出依存度が高い企業は democrat 政権下で α+6.5%/年。共和党政権下は逆。 |
| 645 | Mehrotra Morck Shim Wiwattanakantang 2013 | Vikas Mehrotra, Randall Morck, Jungwook Shim, Yupana Wiwattanakantang | 2013 | Journal of Financial Economics 108(3) |
https://doi.org/10.1016/j.jfineco.2012.12.002 |
日本の養子継承家族企業は非家族企業より長期パフォーマンス優位 (1962-2000 ROA +2-3pt)。 |
| 647 | Asness Moskowitz Pedersen 2013 | Clifford S. Asness, Tobias J. Moskowitz, Lasse H. Pedersen | 2013 | Journal of Finance 68(3) |
https://doi.org/10.1111/jofi.12021 |
Value+Momentumを8つの市場・資産クラスで結合し、シャープ比0.8以上。両者の負相関で分散効果。 |
| 2 | Damodaran "Investment Valuation" 3rd ed | Aswath Damodaran | 2012 | Wiley (textbook) |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/invvalbookresources.htm |
TV成長率はリスクフリーレートを超えられないという制約の代表的記述。 |
| 19 | Bradshaw-Drake-Myers-Myers 2012 | Mark Bradshaw, Michael Drake, James Myers, Linda Myers | 2012 | Review of Accounting Studies 17(4) |
https://doi.org/10.1007/s11142-012-9185-8 DOI: 10.1007/s11142-012-9185-8 |
アナリスト長期EPS予想は中央値 +5pp の楽観バイアス。 |
| 41 | Kodak Failure case | Multiple HBR analyses | 2012 | HBR/HBS | コダック失敗事例。technological displacement型衰退。 | |
| 50 | Eastman Kodak shareholder return analysis (Kennon) | Joshua Kennon | 2012 | Investor blog (joshuakennon.com) |
https://www.joshuakennon.com/eastman-kodak-example/ |
Detailed time-series of Kodak shareholder returns through bankruptcy. Confirms ~99% wipeout for shareholders holding from 1997 peak through 2012 Chapter 11 (existing equity rendered worthless on emergence in 2013). |
| 91 | Gourio 2012 AER | Francois Gourio | 2012 | American Economic Review 102(6) |
https://www.aeaweb.org/articles?id=10.1257/aer.102.6.2734 |
Disaster-risk model linking macro disasters to equity premia. Provides empirical EPS / dividend drops in disaster episodes used for calibration. |
| 131 | Cohen-Malloy-Pomorski 2012 "Decoding Inside Information" | Lauren Cohen, Christopher Malloy, Lukasz Pomorski | 2012 | Journal of Finance 67(3) |
https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2012.01740.x |
「機会主義的」インサイダー取引 (パターン外) は強いリターン予測力 (年率10-15%)、「ルーチン」取引は予測力なし。 |
| 180 | Fama French 2012 Size Value Momentum International | Eugene Fama, Kenneth French | 2012 | Journal of Financial Economics 105(3), 457-472 |
https://faculty.chicagobooth.edu/eugene.fama/research/Pages/research.aspx |
International evidence on size, value, momentum across 23 developed markets 1990-2011. Size premium economically meaningful in Japan, Asia-Pacific ex-Japan, Europe but small in North America post-1980. |
| 195 | AQR Time Series Momentum | Tobias Moskowitz, Yao Hua Ooi, Lasse Pedersen | 2012 | Journal of Financial Economics 104(2), 228-250 |
https://www.aqr.com/Insights/Research/Journal-Article/Time-Series-Momentum |
Documents trend-following / time-series momentum across 58 instruments globally. Sharpe ~1.4 for global TSMOM portfolio with strongest performance in stress periods. |
| 201 | AQR Risk Parity Roll Up | Cliff Asness, Andrea Frazzini, Lasse Pedersen | 2012 | Financial Analysts Journal 68(1), 47-59 |
https://www.aqr.com/Insights/Research/Journal-Article/Leverage-Aversion-and-Risk-Parity |
Shows that low-beta stocks have higher Sharpe than high-beta. Risk parity / BAB framework explains 30-50% of cross-sectional Sharpe dispersion. |
| 285 | Damodaran Investment Valuation Ch13 Growth Firms | Aswath Damodaran | 2012 | Wiley Investment Valuation 3rd ed., Ch. 13 |
https://pages.stern.nyu.edu/~adamodar/ |
Framework for valuing young / loss-making growth firms: revenue forecasts, target operating margin, sustainable reinvestment, probability-of-failure adjustment. Recommends 20-30% failure-haircut for early-stage loss-makers. |
| 333 | Damodaran "Investment Valuation" Ch. 15 Capital Structure | Aswath Damodaran | 2012 | Wiley, Chapter 15 |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/invvalbookresources.htm |
Practical valuation chapter on relevering beta (Hamada), synthetic ratings, optimal leverage from cost-minimization. |
| 364 | Mauboussin The Success Equation | Michael J. Mauboussin | 2012 | Harvard Business Review Press / CFA Institute |
https://www.cfainstitute.org/en/research/multimedia/2013/the-success-equation-untangling-skill-and-luck-in-investment-management |
Quantifies skill-vs-luck contribution to outcomes; 3-year fund returns ~85% luck / 15% skill due to paradox of skill in efficient markets. |
| 373 | Mauboussin "The Success Equation: Untangling Skill and Luck" | Michael J. Mauboussin | 2012 | Harvard Business Review Press |
https://store.hbr.org/product/the-success-equation-untangling-skill-and-luck-in-business-sports-and-investing/10306 |
個別企業・投資家の成功はスキルと運の混合。skill increases → luck dominates (paradox of skill)。投資のパラドックス: 平均スキル向上が個人差を縮小し、結果は運に近づく。 |
| 413 | Damodaran "Operating Leverage: A Review and Implications" (Investment Valuation, ch. 8) | Damodaran, Aswath | 2012 | Investment Valuation, 3rd Edition (Wiley) |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/Inv3ed.htm |
Review of operating-leverage measurement (DOL = %Δ EBIT / %Δ Revenue) and link to industry beta. Provides industry-level estimates of fixed-cost intensity and operating leverage and its implications for cyclicality of earnings. |
| 439 | Asness-Ilmanen 2012 Why Cape Naysayers Are Wrong | Clifford S. Asness | 2012 | AQR Working Paper |
https://www.aqr.com/Insights/Research/White-Papers/An-Old-Friend-The-Stock-Markets-Shiller-PE |
CAPE批判への反論、CAPEのforward returns予測力は依然有効 |
| 456 | Damodaran 2012 Investment Valuation Ch18-19 Price Multiples | Aswath Damodaran | 2012 | Wiley |
https://pages.stern.nyu.edu/~adamodar/ |
Ch.18 PE Ratio, Ch.19 PBV/PS の決定因と業種比較 |
| 524 | Pastor-Veronesi 2012 Political Cycles Stock Returns | Pastor, L.; Veronesi, P. | 2012 | Journal of Finance 67(4), 1219-1264 |
https://doi.org/10.1111/j.1540-6261.2012.01746.x DOI: 10.1111/j.1540-6261.2012.01746.x |
政治不確実性が高いほどリスクプレミアム上昇。democrat政権下市場リターンが平均約9pp/年高い(1927-2015)。 |
| 533 | Davis-Loungani-Mahidhara 2012 Firm-Level Strikes Stock Returns | Davis, S.J.; Loungani, P.; Mahidhara, R. | 2012 | IMF Working Paper |
https://www.imf.org/external/pubs/ft/wp/2012/wp12183.pdf |
主要ストライキevent study: announcement窓-2.5%、長期1年累積-5%。航空業界が最大ヒット。 |
| 550 | Edmans 2012 Best Companies Replication | Edmans, A. | 2012 | Academy of Management Perspectives 26(4), 1-19 |
https://doi.org/10.5465/amp.2012.0046 DOI: 10.5465/amp.2012.0046 |
労働満足→株価リターンリンクの replication。経路: 採用効率↑、retention↑、productivity↑。 |
| 599 | Gilchrist Zakrajsek 2012 Credit Spread | Simon Gilchrist; Egon Zakrajsek | 2012 | American Economic Review 102(4) 1692-1720 |
https://doi.org/10.1257/aer.102.4.1692 |
Foundational paper showing GZ excess bond premium predicts equity returns and recessions. |
| 635 | Cohen Malloy Pomorski 2012 Decoding | Lauren Cohen, Christopher Malloy, Lukasz Pomorski | 2012 | Journal of Finance 67(3) |
https://doi.org/10.1111/j.1540-6261.2012.01740.x |
opportunisticインサイダー(過去ルーチン外取引)買いは年率+8.2%α。ルーチンは情報量無し。 |
| 643 | Damodaran 2012 Value Growth | Aswath Damodaran | 2012 | NYU Stern lecture notes |
https://pages.stern.nyu.edu/~adamodar/ |
価値創造の基本式: Value = ROIC×(再投資率)/(WACC-g)。ROIC>WACC かつ高再投資=複利成長。 |
| 752 | Fama French Size Value Momentum International | Eugene F. Fama; Kenneth R. French | 2012 | Journal of Financial Economics |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1720139 |
International evidence shows value and size effects in regions including Japan; momentum is weak in Japan. |
| 834 | A Study of Corporate Bankruptcies Based on Cash Flow Information | Masaru Ishikawa; Songshi Ni | 2012 | Toyo Gakuen University business and economic review 3(1):35-58 |
https://cir.nii.ac.jp/crid/1050845763173939840 |
Japanese listed-company bankruptcy prediction study using cash-flow statement indicators; supports treating cash-flow weakness as distinct from pure valuation richness. |
| 121 | Fuller-Goldstein 2011 "Do Dividends Matter More in Declining Markets?" | Kathleen Fuller, Michael Goldstein | 2011 | Journal of Corporate Finance 17(3) |
https://www.sciencedirect.com/science/article/abs/pii/S0929119910001215 |
配当銘柄は下落市場で約1.4-1.5%/月、無配銘柄をアウトパフォーム。長期累積では配当銘柄の下落耐性が顕著。 |
| 149 | Gu-Lev 2011 "Overpriced Shares, Ill-Advised Acquisitions, and Goodwill Impairment" | Feng Gu, Baruch Lev | 2011 | The Accounting Review 86(6) |
https://publications.aaahq.org/accounting-review/article-abstract/86/6/1995/3744 |
1990-2006米国買収サンプル。買収企業の約20-25%が買収後3-5年以内にのれん減損を計上。減損企業は買収時より過大評価された自社株を支払対価として使用していた傾向。 |
| 214 | Baker-Bradley-Wurgler 2011 | Baker, M.; Bradley, B.; Wurgler, J. | 2011 | Financial Analysts Journal 67(1) |
https://doi.org/10.2469/faj.v67.n1.4 DOI: 10.2469/faj.v67.n1.4 |
Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly. Low-vol top quintile beat high-vol by ~10pp/yr 1968-2008 risk-adjusted. |
| 237 | Asness 2011 Momentum in Japan | Asness, C. | 2011 | Journal of Portfolio Management 37(4) |
https://doi.org/10.3905/jpm.2011.37.4.067 DOI: 10.3905/jpm.2011.37.4.067 |
Momentum in Japan: The Exception that Proves the Rule. Japan momentum weak alone but combined with value generates significant joint premium 1980-2009. |
| 308 | Garlappi-Yan 2011 "Financial Distress and the Cross-Section of Equity Returns" | Lorenzo Garlappi; Hong Yan | 2011 | Journal of Finance 66(3): 789-822 |
https://doi.org/10.1111/j.1540-6261.2011.01652.x |
Shareholder recovery in default + structural model: relation between distress risk and equity returns is hump-shaped, not monotonic. Reconciles puzzle. |
| 386 | Damodaran "The Little Book of Valuation" / Sustainable Growth | Aswath Damodaran (NYU Stern) | 2011 | Wiley |
https://www.wiley.com/en-us/The+Little+Book+of+Valuation%3A+How+to+Value+a+Company%2C+Pick+a+Stock+and+Profit-p-9781118004777 |
持続成長率 g = ROIC × reinvestment rate。米国上場企業の中央値: ROIC 12%, reinvestment rate 40% → 持続成長率 4.8%。実勢の長期実現売上成長率 (約5%) と整合的。 |
| 399 | Reichheld-Markey 2011 "The Ultimate Question 2.0" (NPS book) | Reichheld, Fred; Markey, Rob | 2011 | Harvard Business Review Press |
https://store.hbr.org/product/the-ultimate-question-2-0-revised-and-expanded-edition-how-net-promoter-companies-thrive-in-a-customer-driven-world/11526 |
Updates NPS framework. Reports Bain analysis showing NPS leaders (top quartile) outgrow competitors by 2-2.5x; small increases in customer retention (5pp) link to disproportionate profit improvements (25-95% in selected studies, originally Reichheld-Sasser 1990). |
| 421 | Edmans 2011 "Does the Stock Market Fully Value Intangibles? Employee Satisfaction and Equity Prices" | Edmans, Alex | 2011 | Journal of Financial Economics, Vol. 101, No. 3, pp. 621-640 |
https://www.sciencedirect.com/science/article/abs/pii/S0304405X11000869 DOI: 10.1016/j.jfineco.2011.03.021 |
Portfolio of "100 Best Companies to Work For in America" earns ~3.5% annualized four-factor alpha (1984-2009). Direct evidence that an intangible (employee satisfaction / human capital) is not fully priced. |
| 430 | Bain Net Promoter System research (2003-2011 corpus) | Markey, Rob; Reichheld, Fred | 2011 | Bain & Company Insights |
https://www.bain.com/insights/topics/net-promoter-system/ |
Bain "Net Promoter System" practitioner research. Reports NPS leaders grow at rates 2-2.5x competitors over 5-year periods across industries; 5pp improvement in retention rate increases customer lifetime value 25-95%. |
| 460 | Cochrane 2011 Discount Rates | John H. Cochrane | 2011 | Journal of Finance 66(4): 1047-1108 |
https://doi.org/10.1111/j.1540-6261.2011.01671.x DOI: 10.1111/j.1540-6261.2011.01671.x |
価格-配当比率の変動の大半は期待リターン (割引率) 変動で説明される |
| 499 | Rothenstein-Tomlinson 2011 Pharma Trial Outcomes | Rothenstein, J. M.; Tomlinson, G.; Tannock, I. F.; Detsky, A. S. | 2011 | Journal of Clinical Oncology 29(10): 1225-1230 | Failed Phase III trial: median -34% same-day stock decline for sponsor; success: median +12%. | |
| 646 | OShaughnessy 2011 What Works | James P. O'Shaughnessy | 2011 | What Works on Wall Street (4th ed.) McGraw-Hill | 1927-2009米国で全因子バックテスト。Trending Value(価値+モメンタム)が年率21%、市場全体11%超え。 | |
| 667 | Edmans 2011 "Does the Stock Market Fully Value Intangibles" | Alex Edmans | 2011 | Journal of Financial Economics 101(3) |
https://doi.org/10.1016/j.jfineco.2011.03.021 |
"100 Best Companies to Work For" 1984-2009ロングオンリー portfolio が市場対比+3.5%/yr alpha。employee satisfactionの未織込み。 |
| 13 | Hsu & Myers 2010 | Charles Hsu & Linda Myers | 2010 | The Accounting Review | 減配企業の3年累計リターン: 80%以上が市場アンダーパフォーム。 | |
| 23 | Damodaran "Distressed Equity Valuation" | Aswath Damodaran | 2010 | NYU Stern teaching note |
https://pages.stern.nyu.edu/~adamodar/pdfiles/eqnotes/distressedequity.pdf |
高MOAT・財務健全 distressed の回復確率は基準率の1.5-2倍。 |
| 132 | Adams-Hermalin-Weisbach 2010 "The Role of Boards of Directors in Corporate Governance" | Renee Adams, Benjamin Hermalin, Michael Weisbach | 2010 | Journal of Economic Literature 48(1) |
https://www.aeaweb.org/articles?id=10.1257/jel.48.1.58 |
取締役会独立性と業績の関係はサーベイ研究で「弱い・一貫しない」と結論。独立性自体より、取締役の専門性・出席率・株式保有が重要。 |
| 242 | Bebchuk-Cohen-Wang 2010 | Bebchuk, L.; Cohen, A.; Wang, C. | 2010 | Journal of Financial Economics 98(2) |
https://doi.org/10.1016/j.jfineco.2010.04.001 DOI: 10.1016/j.jfineco.2010.04.001 |
Learning and the Disappearing Association Between Governance and Returns. Once-strong governance alpha disappears post-2002. Used as cross-holding/governance proxy. |
| 307 | George-Hwang 2010 "A Resolution of the Distress Risk and Leverage Puzzles in the Cross Section of Stock Returns" | Thomas J. George; Chuan-Yang Hwang | 2010 | Journal of Financial Economics 96(1): 56-79 |
https://doi.org/10.1016/j.jfineco.2009.11.003 |
Low-leverage firms earn higher returns because they self-select into low-leverage to avoid distress costs (selection effect, not anomaly). |
| 310 | Korteweg 2010 "The Net Benefits to Leverage" | Arthur Korteweg | 2010 | Journal of Finance 65(6): 2137-2170 |
https://doi.org/10.1111/j.1540-6261.2010.01612.x |
Marginal benefit of leverage at observed levels averages 5-7% of firm value; at-optimum benefit ~6-8%; firms on average operate close to optimal trade-off level. |
| 332 | Gomes-Schmid 2010 "Levered Returns" | Joao F. Gomes; Lukas Schmid | 2010 | Journal of Finance 65(2): 467-494 |
https://doi.org/10.1111/j.1540-6261.2009.01541.x |
Structural model: relation between book-leverage and returns is non-monotonic and largely driven by investment / growth options, not pure financial risk. |
| 501 | Plazzi-Torous-Valkanov 2010 REIT Rates | Plazzi, A.; Torous, W.; Valkanov, R. | 2010 | Real Estate Economics | US REITs: 100bp 10-year yield rise produces approximately -7% to -10% REIT price decline within 6 months. | |
| 668 | Cohen-Polk-Silli 2010 "Best Ideas" | Randolph B. Cohen, Christopher Polk, Bernhard Silli | 2010 | SSRN Working Paper |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1364827 |
PMがbest idea (top weighted)に集中したケースのリターンは年率+8-12%程度の超過。concentrated portfolio alphaの実証。 |
| 117 | Peyer-Vermaelen 2009 "The Nature and Persistence of Buyback Anomalies" | Urs Peyer, Theo Vermaelen | 2009 | Review of Financial Studies 22(4) |
https://academic.oup.com/rfs/article/22/4/1693/1577706 |
1991-2001米国データで自社株買いアノマリーの持続を確認。4年累積異常リターン+24.3% (バイ&ホールド)。バリュー銘柄かつ過去下落銘柄で特に強い効果。 |
| 230 | Diether-Lee-Werner 2009 | Diether, K.; Lee, K.; Werner, I. | 2009 | Review of Financial Studies 22(2) |
https://doi.org/10.1093/rfs/hhn047 DOI: 10.1093/rfs/hhn047 |
Short-Sale Strategies and Return Predictability. Short-sellers contrarian; high short-volume stocks underperform by ~1.13%/week. |
| 240 | Hanaeda-Sarita 2009 | Hanaeda, H.; Sarita, T. | 2009 | Securities Analysts Journal (Japan) | 日経225銘柄入替効果. 採用銘柄イベント時+1.6% (announcement) 〜 +4% (effective) のpre-effective drift. Source surveyed in 大和総研/野村Quants reports. | |
| 298 | Damodaran Young Companies Valuation | Aswath Damodaran | 2009 | NYU Stern Working Paper - Valuing Young Growth Firms |
https://pages.stern.nyu.edu/~adamodar/pdfiles/papers/younggrowth.pdf |
Framework for valuing pre-profit firms via "story-to-numbers": revenue path, target margin, reinvestment intensity, terminal year, and explicit failure probability. Recommends 20-40% failure haircut for early-stage loss-makers. |
| 317 | Kaplan-Stromberg 2009 "Leveraged Buyouts and Private Equity" | Steven N. Kaplan; Per Stromberg | 2009 | Journal of Economic Perspectives 23(1): 121-146 |
https://doi.org/10.1257/jep.23.1.121 |
LBO targets: debt/EV typically jumps to 60-90%; PE returns gross IRR 20%+ but net of fees only modestly above public equity. |
| 324 | Bates-Kahle-Stulz 2009 "Why Do U.S. Firms Hold So Much More Cash than They Used To?" | Thomas W. Bates; Kathleen M. Kahle; Rene M. Stulz | 2009 | Journal of Finance 64(5): 1985-2021 |
https://doi.org/10.1111/j.1540-6261.2009.01492.x |
US cash/asset ratio doubled 1980-2006 driven by R&D-intensive, low-leverage firms; net debt declined. |
| 388 | Cremers-Petajisto 2009 "How Active Is Your Fund Manager?" | K.J. Martijn Cremers, Antti Petajisto | 2009 | Review of Financial Studies 22(9) |
https://academic.oup.com/rfs/article-abstract/22/9/3329/1599865 |
高Active Share (>80%) のアクティブファンドは1980-2003期間にベンチマークを年率 +1.13pp 上回る。低Active Share (closet indexer) は -0.50pp underperform。但し 2008年以降は高Active Share の優位は消失。 |
| 418 | Lev-Radhakrishnan-Zhang 2009 "Organization Capital" | Lev, Baruch; Radhakrishnan, Suresh; Zhang, Weining | 2009 | Abacus, Vol. 45, No. 3, pp. 275-298 |
https://onlinelibrary.wiley.com/doi/10.1111/j.1467-6281.2009.00289.x DOI: 10.1111/j.1467-6281.2009.00289.x |
Estimates "organization capital" (proxied by cumulative SG&A) and shows it has substantial value relevance and predicts future operating performance and stock returns, supporting the broader intangibles-revolution thesis. |
| 510 | Bessembinder-Maxwell-Venkataraman 2009 Block Liquidity | Bessembinder, H.; Maxwell, W.; Venkataraman, K. | 2009 | Journal of Financial Economics | Block trade transparency reduces transient price impact by ~25-50%; permanent impact unchanged. | |
| 520 | Bebchuk-Cohen-Ferrell 2009 What Matters Corporate Governance | Bebchuk, L.; Cohen, A.; Ferrell, A. | 2009 | Review of Financial Studies 22(2), 783-827 |
https://doi.org/10.1093/rfs/hhn099 DOI: 10.1093/rfs/hhn099 |
E-Index(6項目entrenchment)。低E-Index銘柄が高E-Indexを年率α+3.5%上回る(1990-2003)。Q値も高い。 |
| 534 | Farber-Hallock 2009 Layoff Stock Price | Farber, H.S.; Hallock, K.F. | 2009 | Industrial and Labor Relations Review 62(4), 488-509 |
https://doi.org/10.1177/001979390906200404 DOI: 10.1177/001979390906200404 |
解雇発表event study: 1970年代-1.5%, 90年代以降-0.4%(短期)。長期1年累積はほぼ無相関。 |
| 629 | ONeil 2009 How to Make Money in Stocks | William J. O'Neil | 2009 | McGraw-Hill (4th ed.) | IBD 100年分のチャート・財務分析からCAN SLIM 7因子(Current EPS/Annual EPS/New高値/Supply-Demand/Leader/Institutional/Market)を抽出。1880-2008年の最大上昇株600銘柄が事前にCAN SLIM条件を満たしていた。 | |
| 632 | Fahlenbrach 2009 Founder CEOs | Rüdiger Fahlenbrach | 2009 | Journal of Financial and Quantitative Analysis 44(2) |
https://doi.org/10.1017/S0022109009090109 |
S&P1500中の創業者CEO企業(11.6%)は1992-2003年で年率8.3% Carhart-α、Tobin Q +12-16%。買収・R&D・CapExが多い。 |
| 35 | Welch & Goyal 2008 | Ivo Welch & Amit Goyal | 2008 | Review of Financial Studies 21(4) |
https://doi.org/10.1093/rfs/hhm014 DOI: 10.1093/rfs/hhm014 |
マクロ予測変数の不安定性。事前予測は事後リターンを捉えられない。 |
| 45 | Caballero-Hoshi-Kashyap 2008 | Ricardo Caballero, Takeo Hoshi, Anil Kashyap | 2008 | American Economic Review |
https://doi.org/10.1257/aer.98.5.1943 DOI: 10.1257/aer.98.5.1943 |
ゾンビ貸出（zombie lending）と日本の生産性低下の実証。 |
| 98 | Caballero, Hoshi & Kashyap 2008 | Ricardo J. Caballero, Takeo Hoshi, Anil K. Kashyap | 2008 | American Economic Review 98(5) |
https://www.aeaweb.org/articles?id=10.1257/aer.98.5.1943 |
Empirical evidence on Japanese 'zombie' firms (1993-2002), bank evergreening, and the misallocation cost. Provides JP-specific zombie firm prevalence numbers. |
| 124 | Cooper-Gulen-Schill 2008 "Asset Growth and the Cross-Section of Stock Returns" | Michael Cooper, Huseyin Gulen, Michael Schill | 2008 | Journal of Finance 63(4) |
https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2008.01370.x |
総資産成長率トップ-ボトム十分位で年率20%のリターン差 (低成長銘柄が勝つ)。M&A、CapEx、運転資本、財務発行を全て含む統合シグナル。 |
| 161 | McKinsey Granularity of Growth | Patrick Viguerie, Sven Smit, Mehrdad Baghai (McKinsey) | 2008 | McKinsey & Company / Wiley (book) |
https://www.mckinsey.com/capabilities/strategy-and-corporate-finance/our-insights/the-granularity-of-growth |
Industry/sub-industry tailwinds explain 65% of corporate revenue growth - portfolio momentum + M&A only 35%. Critical for sector vs stock-selection attribution. |
| 229 | Boehmer-Jones-Zhang 2008 | Boehmer, E.; Jones, C.; Zhang, X. | 2008 | Journal of Finance 63(2) |
https://doi.org/10.1111/j.1540-6261.2008.01334.x DOI: 10.1111/j.1540-6261.2008.01334.x |
Which Shorts Are Informed? Heavily shorted stocks underperform lightly shorted by ~1.6%/month equal-weighted, ~0.5%/month value-weighted. |
| 234 | Kaniel-Saar-Titman 2008 | Kaniel, R.; Saar, G.; Titman, S. | 2008 | Journal of Finance 63(1) |
https://doi.org/10.1111/j.1540-6261.2008.01316.x DOI: 10.1111/j.1540-6261.2008.01316.x |
Individual Investor Trading and Stock Returns. Stocks intensely bought by individuals outperform by ~0.6% over next month. |
| 305 | Campbell-Hilscher-Szilagyi 2008 "In Search of Distress Risk" | John Y. Campbell; Jens Hilscher; Jan Szilagyi | 2008 | Journal of Finance 63(6): 2899-2939 |
https://doi.org/10.1111/j.1540-6261.2008.01416.x |
Distress-risk anomaly: highest-distress (highest leverage / failure-prob) stocks earn LOWER, not higher, returns. ~17% annual underperformance for top distress decile, 1981-2003. |
| 325 | Lemmon-Roberts-Zender 2008 "Back to the Beginning: Persistence and the Cross-Section of Corporate Capital Structure" | Michael L. Lemmon; Michael R. Roberts; Jaime F. Zender | 2008 | Journal of Finance 63(4): 1575-1608 |
https://doi.org/10.1111/j.1540-6261.2008.01369.x |
Capital structure is highly persistent; firm fixed effects explain >60% of cross-sectional variation in leverage. |
| 337 | McKinsey The Granularity of Growth (book) | Patrick Viguerie, Sven Smit, Mehrdad Baghai | 2008 | McKinsey & Company / Wiley |
https://www.mckinsey.com/featured-insights/employment-and-growth/the-granularity-of-growth |
Decomposes growth of 200+ large companies into portfolio momentum (43%), M&A (35%), and market-share gain (22%). Argues growth comes mainly from where you compete, not how you compete. |
| 358 | BCG 2008 Value Creators Missing Link | Boston Consulting Group | 2008 | BCG Publications |
https://web-assets.bcg.com/11/d7/9061c23e4401b44461173f0ddf79/vcr-2008.pdf |
Foundational BCG TSR decomposition paper; canonical source for 4-driver decomposition (revenue growth, margin change, multiple change, cash-flow contribution). |
| 363 | CEB Stall Points (Olson Van Bever) | Matthew S. Olson, Derek van Bever | 2008 | Yale University Press / Harvard Business Review (CEB study) |
https://yalebooks.yale.edu/book/9780300158519/stall-points/ |
CEB / HBR analysis of 600+ Fortune-100-size US firms 1955-2006: 87% experience growth stalls; 87% of stalls have controllable, internal root causes. |
| 414 | Nakamura-Steinsson 2008 "Five Facts about Prices: A Reevaluation of Menu Cost Models" | Nakamura, Emi; Steinsson, Jon | 2008 | Quarterly Journal of Economics, Vol. 123, No. 4, pp. 1415-1464 |
https://academic.oup.com/qje/article/123/4/1415/1933166 DOI: 10.1162/qjec.2008.123.4.1415 |
Documents median frequency of consumer price changes ~9-12% per month excluding sales (i.e., median price duration ~8-11 months). Substantial heterogeneity across industries: services prices change less frequently than goods. Useful baseline for inflation pass-through speed. |
| 420 | Fang-Palmatier-Steenkamp 2008 "Effect of Service Transition Strategies on Firm Value" | Fang, Eric; Palmatier, Robert W.; Steenkamp, Jan-Benedict E.M. | 2008 | Journal of Marketing, Vol. 72, No. 5, pp. 1-14 |
https://journals.sagepub.com/doi/10.1509/jmkg.72.5.001 DOI: 10.1509/jmkg.72.5.001 |
Examines link between marketing/intangible strategies and firm value. Highlights customer-relationship and service intangibles as drivers of Tobin's Q. |
| 461 | Welch-Goyal 2008 Comprehensive Look at Empirical Performance of Equity Premium Prediction | Ivo Welch, Amit Goyal | 2008 | Review of Financial Studies 21(4): 1455-1508 |
https://doi.org/10.1093/rfs/hhm014 DOI: 10.1093/rfs/hhm014 |
CAPE/D/P等の長期予測力を再検証、in-sample強・out-of-sample弱 |
| 486 | Karpoff-Lee-Martin 2008 Cooking the Books | Karpoff, J. M.; Lee, D. S.; Martin, G. S. | 2008 | Journal of Financial and Quantitative Analysis 43(3): 581-611 | Detected accounting fraud results in average -38% market value loss; 66% reputation, 25% legal penalty, 9% other. | |
| 492 | Cox-Tiwana 2008 Patent Litigation | Cox, J. D.; Tiwana, A. | 2008 | University of Pennsylvania Law Review | Patent infringement lawsuits show -1% to -2.5% defendant CAR depending on damages. | |
| 521 | Brav-Jiang-Partnoy-Thomas 2008 Hedge Fund Activism | Brav, A.; Jiang, W.; Partnoy, F.; Thomas, R. | 2008 | Journal of Finance 63(4), 1729-1775 |
https://doi.org/10.1111/j.1540-6261.2008.01373.x DOI: 10.1111/j.1540-6261.2008.01373.x |
ヘッジファンド・アクティビスト介入13F event study: 介入announcement abnormal return +7%、1年累積+18%、3年でROAも改善。 |
| 536 | Karpoff-Lee-Martin 2008 Cost Cooking Books Financial Misconduct | Karpoff, J.M.; Lee, D.S.; Martin, G.S. | 2008 | Journal of Financial and Quantitative Analysis 43(3), 581-611 |
https://doi.org/10.1017/S0022109000004221 DOI: 10.1017/S0022109000004221 |
不正会計企業 enforcement action 後 cumulative -38%。罰金は4-6%、レピュテーション失は66%。 |
| 554 | Linck-Netter-Yang 2008 Effects Sarbanes-Oxley | Linck, J.S.; Netter, J.M.; Yang, T. | 2008 | Review of Financial Studies 22(8), 3287-3328 |
https://doi.org/10.1093/rfs/hhn084 DOI: 10.1093/rfs/hhn084 |
SOX後社外取締役比率は60%→72%に。小型株でガバナンスコスト増、α-2%/年。 |
| 644 | Saito 2008 Family Firms Japan | Takuji Saito | 2008 | Journal of the Japanese and International Economies 22(4) |
https://doi.org/10.1016/j.jjie.2008.06.001 |
日本上場企業1990-1998で創業家経営企業はROA・Tobin Qが非家族企業を有意に上回る。創業者+後継世代でも持続。 |
| 708 | Campbell-Hilscher-Szilagyi In Search of Distress Risk 2008 | John Y. Campbell; Jens Hilscher; Jan Szilagyi | 2008 | Journal of Finance |
https://doi.org/10.1111/j.1540-6261.2008.01389.x DOI: 10.1111/j.1540-6261.2008.01389.x |
Failure probability is linked to poor profitability, leverage, low market capitalization, low stock price, poor recent returns, and high volatility. |
| 710 | Pontiff-Woodgate Share Issuance and Cross-sectional Returns 2008 | Jeffrey Pontiff; Artemiza Woodgate | 2008 | Journal of Finance |
https://doi.org/10.1111/j.1540-6261.2008.01365.x DOI: 10.1111/j.1540-6261.2008.01365.x |
Net share issuance is a strong predictor of future cross-sectional stock returns. |
| 713 | Campbell-Hilscher-Szilagyi distress risk | John Y. Campbell; Jens Hilscher; Jan Szilagyi | 2008 | Journal of Finance 63(6) |
https://dash.harvard.edu/handle/1/3199070 DOI: 10.1111/j.1540-6261.2008.01416.x |
Dynamic distress model using accounting and market variables; high failure-risk equities have low average returns and high volatility. |
| 720 | Bharath-Shumway Merton distance to default | Sreedhar T. Bharath; Tyler Shumway | 2008 | Review of Financial Studies 21(3) |
https://academic.oup.com/rfs/article/21/3/1339/1566804 DOI: 10.1093/rfs/hhn044 |
Tests Merton distance-to-default variables; finds a simple functional-form predictor and expanded hazard variables outperform raw Merton default probabilities out of sample. |
| 734 | Campbell Hilscher Szilagyi In Search of Distress Risk | John Y. Campbell; Jens Hilscher; Jan Szilagyi | 2008 | Journal of Finance / NBER |
https://www.nber.org/papers/w12362 |
Distressed stocks have high failure probabilities and low subsequent returns; distress risk is not rewarded with higher expected returns. |
| 741 | Goyal Welch Equity Premium Prediction | Amit Goyal; Ivo Welch | 2008 | Review of Financial Studies / NBER |
https://www.nber.org/papers/w10483 |
Many equity premium predictors perform poorly out of sample despite in-sample significance; valuation signals should be shrunk heavily. |
| 784 | The evolving relation between earnings, dividends, and stock repurchases | Douglas J. Skinner | 2008 | Journal of Financial Economics |
https://www.sciencedirect.com/science/article/pii/S0304405X07002334 DOI: 10.1016/j.jfineco.2007.05.003 |
Repurchases increasingly substitute for dividends as earnings payouts, especially among regular repurchasers; supports not independently compounding dividends and buybacks in valuation paths. |
| 10 | Fama-French 2007 "Migration" | Eugene Fama & Kenneth French | 2007 | Financial Analysts Journal 63(3) |
https://doi.org/10.2469/faj.v63.n3.4690 DOI: 10.2469/faj.v63.n3.4690 |
バリュー→グロース migrationは20-25%（5年）。多数の「value trap」が存在。 |
| 40 | Apple Turnaround 1997-2007 | Multiple academic case studies | 2007 | HBS case | Apple復活事例。MOAT再構築型ターンアラウンド。 | |
| 46 | Mauboussin "Death, Taxes, and Reversion to the Mean" | Michael J. Mauboussin | 2007 | Credit Suisse / Legg Mason Capital Management (white paper) |
https://greenbackd.com/2010/04/21/roic-and-reversion-to-the-mean-part-1/ |
Empirical study of ROIC reversion using ~1,000 non-financial U.S. companies 1997-2006. Documents quintile transition probabilities, persistence rates, and serial correlation of ROIC. Original CSFB/Legg Mason white paper, December 2007. |
| 119 | Boudoukh-Michaely-Richardson-Roberts 2007 "On the Importance of Measuring Payout Yield" | Jacob Boudoukh, Roni Michaely, Matthew Richardson, Michael Roberts | 2007 | Journal of Finance 62(2) |
https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2007.01219.x |
配当のみでなくネット自社株買いを含めたペイアウトイールドが将来リターン予測力で配当利回り単独より優れる。 |
| 170 | Robeco The Volatility Effect Lower Risk Without Lower Return | David Blitz, Pim van Vliet (Robeco) | 2007 | Journal of Portfolio Management 34(1), 102-113 |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=980865 |
Foundation paper for low-volatility investing. Decile-1 (lowest vol) earns ~12% annually 1986-2006, decile-10 ~6%. Sharpe ~0.7 vs ~0.3 globally - dramatic risk-adjusted outperformance. |
| 296 | Demers-Joos 2007 IPO Failure | Elizabeth Demers, Philip Joos | 2007 | Journal of Business Finance & Accounting 34(7-8), 1303-1327 |
https://doi.org/10.1111/j.1468-5957.2007.02055.x |
IPO failure prediction: ~22% of US IPOs delisted within 5 years of listing (1980-2000); failure rate ~30% in tech subsector. Loss at IPO + low cash + high leverage predicts failure. |
| 316 | Kayhan-Titman 2007 "Firms histories and their capital structures" | Ayla Kayhan; Sheridan Titman | 2007 | Journal of Financial Economics 83(1): 1-32 |
https://doi.org/10.1016/j.jfineco.2005.10.007 |
Capital structure is shaped by both market timing AND target leverage; firms slowly revert toward target after deviations. |
| 326 | Penman-Richardson-Tuna 2007 "The Book-to-Price Effect in Stock Returns: Accounting for Leverage" | Stephen H. Penman; Scott A. Richardson; Irem Tuna | 2007 | Journal of Accounting Research 45(2): 427-467 |
https://doi.org/10.1111/j.1475-679X.2007.00240.x |
Decomposes B/P into operating B/P (positive return predictor) and leverage component (NEGATIVE predictor). Leverage destroys, not creates, return premium. |
| 344 | Sun & Tse When Does the Winner Take All | Mei Sun, Edison Tse | 2007 | NET Institute working paper / Stanford |
https://www.researchgate.net/publication/24049755_When_Does_the_Winner_Take_All_in_Two-Sided_Markets |
Theoretical model: winner-take-all only emerges when network effects are strong AND multi-homing/differentiation are weak; otherwise platforms split market. |
| 345 | Eisenmann Winner-Take-All in Networked Markets | Thomas R. Eisenmann | 2007 | Harvard Business School background note 806-131 |
https://www.hbs.edu/faculty/Pages/item.aspx?num=33035 |
HBS framework note: WTA conditions = strong same-side network effects + low multi-homing + small need for differentiation. Cited as canonical platform-strategy reference. |
| 395 | Damodaran "Research and Development Expenses: Implications for Profitability Measurement and Valuation" | Damodaran, Aswath | 2007 | NYU Stern Working Paper / Investment Valuation textbook chapter |
https://pages.stern.nyu.edu/~adamodar/pdfiles/papers/R&D.pdf |
Provides framework to capitalize and amortize R&D, recompute earnings, book value, ROIC. Documents that for R&D-intensive firms (pharma, software) capitalized adjustments materially raise both invested capital and operating income, often lowering reported ROIC vs unadjusted. |
| 665 | Pabrai 2007 "The Dhandho Investor" | Mohnish Pabrai | 2007 | Wiley | 低リスク・高不確実性の heads-I-win / tails-I-do-not-lose-much 枠組み。長期コンパウンダー投資の哲学。 | |
| 704 | Boudoukh-Michaely-Richardson-Roberts 2007 Payout Yield | Jacob Boudoukh, Roni Michaely, Matthew Richardson, Michael Roberts | 2007 | Journal of Finance 62(2) |
https://doi.org/10.1111/j.1540-6261.2007.01219.x |
配当+自社株買い total payout yield上位デシルは年率+5-7% alpha (1971-2003)。配当のみ yield より予測力が高い。 |
| 719 | Duffie-Saita-Wang multi-period default prediction | Darrell Duffie; Leandro Saita; Ke Wang | 2007 | Journal of Financial Economics 83(3) |
https://www.gsb.stanford.edu/faculty-research/publications/multi-period-corporate-default-prediction-stochastic-covariates DOI: 10.1016/j.jfineco.2005.10.011 |
Multi-period default hazard model using distance to default, trailing stock return, market returns, and interest rates across US industrial firm-month observations. |
| 129 | Villalonga-Amit 2006 "How Do Family Ownership, Control and Management Affect Firm Value?" | Belen Villalonga, Raphael Amit | 2006 | Journal of Financial Economics 80(2) |
https://www.sciencedirect.com/science/article/abs/pii/S0304405X05002187 |
創業者CEOがいるファミリー企業はTobins Qが高いが、子孫CEOではプレミアムが消失。第二世代以降のCEOは価値破壊する傾向。 |
| 207 | Ang Hodrick Xing Zhang 2006 The Cross Section of Volatility | Andrew Ang, Robert Hodrick, Yuhang Xing, Xiaoyan Zhang | 2006 | Journal of Finance 61(1), 259-299 |
https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2006.00836.x |
Foundation paper for low-volatility anomaly. High idiosyncratic-volatility stocks underperform low by ~1% per month. Robust across markets and time periods. |
| 213 | Ang-Hodrick-Xing-Zhang 2006 | Ang, A.; Hodrick, R.; Xing, Y.; Zhang, X. | 2006 | Journal of Finance 61(1) |
https://doi.org/10.1111/j.1540-6261.2006.00836.x DOI: 10.1111/j.1540-6261.2006.00836.x |
The Cross-Section of Volatility and Expected Returns. Highest idiosyncratic volatility quintile underperforms by ~1%/month vs lowest. Low-vol anomaly. |
| 231 | Baker-Wurgler 2006 | Baker, M.; Wurgler, J. | 2006 | Journal of Finance 61(4) |
https://doi.org/10.1111/j.1540-6261.2006.00885.x DOI: 10.1111/j.1540-6261.2006.00885.x |
Investor Sentiment and the Cross-Section of Stock Returns. High sentiment predicts low subsequent returns on speculative/hard-to-arbitrage stocks. |
| 247 | Bergstresser-Philippon 2006 | Bergstresser, D.; Philippon, T. | 2006 | Journal of Financial Economics 80(3) |
https://doi.org/10.1016/j.jfineco.2004.10.011 DOI: 10.1016/j.jfineco.2004.10.011 |
CEO Incentives and Earnings Management. CEOs with more equity-based pay show stronger earnings management; subsequent returns lower. |
| 248 | Cotter-Tuna-Wysocki 2006 | Cotter, J.; Tuna, I.; Wysocki, P. | 2006 | Contemporary Accounting Research 23(3) |
https://doi.org/10.1506/27CD-9XEN-K2T9-AHGV DOI: 10.1506/27CD-9XEN-K2T9-AHGV |
Expectations Management and Beatable Targets: How Do Analysts React to Explicit Earnings Guidance? Management guidance walks down analyst forecasts; ~70% of guiders meet/beat. |
| 402 | Madden-Fehle-Fournier 2006 "Brands Matter: An Empirical Demonstration of the Creation of Shareholder Value Through Branding" | Madden, Thomas J.; Fehle, Frank; Fournier, Susan | 2006 | Journal of the Academy of Marketing Science, Vol. 34, No. 2, pp. 224-235 |
https://link.springer.com/article/10.1177/0092070305283356 DOI: 10.1177/0092070305283356 |
Constructs portfolio of Interbrand-ranked Global Brands (1994-2000) and shows Fama-French-Carhart alpha of ~0.60% per month (~7.4% annualized) over and above market, size, value, and momentum, with lower systematic risk. |
| 466 | Daniel-Titman 2006 Market Reactions to Tangible and Intangible Information | Kent Daniel, Sheridan Titman | 2006 | Journal of Finance 61(4): 1605-1643 |
https://doi.org/10.1111/j.1540-6261.2006.00884.x DOI: 10.1111/j.1540-6261.2006.00884.x |
B/M変化の中身を分解、過剰反応によるバリュー・プレミアム |
| 471 | Kothari-Lewellen-Warner 2006 Stock Returns Aggregate Earnings | Kothari, S. P.; Lewellen, J.; Warner, J. B. | 2006 | Journal of Financial Economics 79(3): 537-568 | Aggregate earnings news has weaker firm-level coefficient than firm-specific earnings; macro-aggregation washes out. | |
| 490 | Acquisti-Friedman-Telang 2006 Privacy Breach | Acquisti, A.; Friedman, A.; Telang, R. | 2006 | WEIS workshop / CMU | Average -0.6% one-day CAR; effects mostly recover within 30 days for non-financial firms. | |
| 579 | Lemmon Portniaguina 2006 Consumer Confidence | Michael Lemmon; Evgenia Portniaguina | 2006 | Review of Financial Studies 19 (4) 1499-1529 |
https://doi.org/10.1093/rfs/hhj038 |
Empirical paper showing residual consumer confidence forecasts small-cap returns. |
| 630 | Greenblatt 2006 Magic Formula | Joel Greenblatt | 2006 | The Little Book that Beats the Market (Wiley) | 高 Earnings Yield + 高 ROIC で米国株を年次ランキング。1988-2004年バックテストで年率17.0% (S&P500 12.4%)。1988-2009年Forbesスタディ等で再現性確認。 | |
| 744 | Lu Zhang Value Spread Predictor Returns | L. Zhang; J. Lu | 2006 | NBER / Journal of Financial Markets |
https://www.nber.org/papers/w11326 |
Value spread contains components with different predictive meanings; broad spread signals are not one clean variable. |
| 104 | Bernanke & Kuttner 2005 | Ben S. Bernanke, Kenneth N. Kuttner | 2005 | Journal of Finance 60(3) |
https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2005.00760.x |
Quantifies S&P 500 reaction to surprise FOMC rate moves. Foundational paper for equity duration / rate-sensitivity estimates. |
| 109 | Moeller-Schlingemann-Stulz 2005 "Wealth Destruction" | Sara Moeller, Frederik Schlingemann, Rene Stulz | 2005 | Journal of Finance 60(2) |
https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2005.00745.x |
1998-2001の期間、米国上場買収企業が公表3日間で累積約2,400億ドルの株主価値を喪失。大型買収のリターンが特に悪い。 |
| 232 | Brown-Cliff 2005 | Brown, G.; Cliff, M. | 2005 | Journal of Business 78(2) |
https://doi.org/10.1086/427633 DOI: 10.1086/427633 |
Investor Sentiment and Asset Valuation. AAII bullish sentiment negatively predicts 1-3 year market returns. |
| 244 | Clement-Tse 2005 | Clement, M.; Tse, S. | 2005 | Journal of Finance 60(1) |
https://doi.org/10.1111/j.1540-6261.2005.00727.x DOI: 10.1111/j.1540-6261.2005.00727.x |
Financial Analyst Characteristics and Herding Behavior in Forecasting. Bold (anti-herd) forecasts more accurate than herding by ~5-10% MAFE reduction. |
| 271 | Eckbo-Norli 2005 Liquidity Risk | B. Espen Eckbo, Oyvind Norli | 2005 | Journal of Corporate Finance 11(1-2), 1-35 |
https://doi.org/10.1016/j.jcorpfin.2004.02.002 |
Argues IPO firms have lower liquidity risk and lower leverage than benchmark firms; once these risk factors are controlled, long-run "underperformance" largely disappears. Important counterpoint to Ritter 1991. |
| 392 | Hall-Jaffe-Trajtenberg 2005 "Market Value and Patent Citations" | Hall, Bronwyn H.; Jaffe, Adam; Trajtenberg, Manuel | 2005 | RAND Journal of Economics, Vol. 36, No. 1, pp. 16-38 |
https://www.jstor.org/stable/1593752 |
Patent citations are economically and statistically significant predictors of firm market value beyond R&D and patent counts. An extra citation per patent boosts market value ~3%. Documents convex relationship: highly cited patents disproportionately valuable. |
| 493 | Karpoff-Lott-Wehrly 2005 Environmental Fines | Karpoff, J. M.; Lott, J. R.; Wehrly, E. W. | 2005 | Journal of Law and Economics 48(2): 653-675 | Environmental violations: announcement effect averages -1.7%; magnitude proportional to fine size. | |
| 529 | Hendricks-Singhal 2005 Long-Run Stock Performance Supply Chain | Hendricks, K.B.; Singhal, V.R. | 2005 | Production and Operations Management 14(1), 35-52 |
https://doi.org/10.1111/j.1937-5956.2005.tb00008.x DOI: 10.1111/j.1937-5956.2005.tb00008.x |
885件のサプライ分断発表分析。事前1年-12%、announcement当日-7.5%、その後1年さらに-10%。トータル約30%失う。 |
| 535 | Karpoff-Lott-Wehrly 2005 Reputation Penalty Environmental Violations | Karpoff, J.M.; Lott, J.R.; Wehrly, E.W. | 2005 | Journal of Law and Economics 48(2), 653-675 |
https://doi.org/10.1086/430806 DOI: 10.1086/430806 |
環境規制違反announcement abnormal return -1.69%。罰金額の9倍がレピュテーション損失。 |
| 739 | Joos Plesko Valuing Loss Firms | Peter Joos; George A. Plesko | 2005 | MIT Sloan working paper / Accounting Review related literature |
https://ideas.repec.org/p/mit/sloanp/5418.html |
Loss firms should be valued differently depending on expected return to profitability and R&D content. |
| 44 | Hoshi-Kashyap 2004 | Takeo Hoshi & Anil Kashyap | 2004 | Journal of Economic Perspectives | 日本のゾンビ企業と失われた10年の論考。 | |
| 99 | Goyal & Yamada 2004 | Vidhan K. Goyal, Takeshi Yamada | 2004 | Journal of Business 77(1) |
https://www.jstor.org/stable/10.1086/379866 |
Empirical analysis of Japanese asset price collapse (1990s) and its effect on corporate investment. Provides early documentation of JP corporate distress channels. |
| 108 | Hoshi & Kashyap 2004 (already in DB; re-used) | Takeo Hoshi, Anil K. Kashyap | 2004 | Journal of Economic Perspectives 18(1) |
https://www.aeaweb.org/articles?id=10.1257/089533004773563412 |
Survey of JP banking crisis, lost decade and zombie firms. |
| 123 | Titman-Wei-Xie 2004 "Capital Investments and Stock Returns" | Sheridan Titman, KC Wei, Feixue Xie | 2004 | Journal of Financial and Quantitative Analysis 39(4) |
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/abs/capital-investments-and-stock-returns/ |
異常CapEx (industry adj) が高い企業は将来リターンが低い。年率約-4-5%のスプレッド。過剰投資が長期株主リターンを毀損。 |
| 125 | Eberhart-Maxwell-Siddique 2004 "An Examination of Long-Term Abnormal Stock Returns and Operating Performance Following R&D Increases" | Allan Eberhart, William Maxwell, Akhtar Siddique | 2004 | Journal of Finance 59(2) |
https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2004.00642.x |
R&D支出を大幅増加させた企業は5年間累積異常リターン+12.6%。市場はR&D投資の長期効果を過小評価する。 |
| 220 | Hirshleifer-Hou-Teoh-Zhang 2004 | Hirshleifer, D.; Hou, K.; Teoh, S.; Zhang, Y. | 2004 | Journal of Accounting and Economics 38 |
https://doi.org/10.1016/j.jacceco.2004.10.002 DOI: 10.1016/j.jacceco.2004.10.002 |
Do Investors Overvalue Firms with Bloated Balance Sheets? NOA scaled change predicts negative future returns; top-bottom decile spread ~18%/yr. |
| 239 | Nikkei 225 Index Reconstitution Effect (Chen-Noronha-Singal 2004) | Chen, H.; Noronha, G.; Singal, V. | 2004 | Journal of Finance 59(4) |
https://doi.org/10.1111/j.1540-6261.2004.00683.x DOI: 10.1111/j.1540-6261.2004.00683.x |
The Price Response to S&P 500 Index Additions and Deletions. Additions +5.3%, deletions -8.4% (event window). Cited as benchmark for index-rebalance literature applicable to TOPIX. |
| 262 | Geroski-Gugler 2004 "Corporate Growth Convergence" | Paul A. Geroski; Klaus P. Gugler | 2004 | CEPR Discussion Paper / Oxford Economic Papers |
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=275009 |
Large European firms. Confirms Gibrat process best fits very large/mature firms; smaller/younger firms grow faster on average. |
| 272 | Loughran-Ritter 2004 Why Has IPO Underpricing Changed | Tim Loughran, Jay Ritter | 2004 | Financial Management 33(3), 5-37 |
https://doi.org/10.1111/j.1755-053X.2004.tb00005.x |
Documents three regimes of US IPO underpricing: 1980-89 ~7%, 1990-98 ~15%, 1999-2000 ~65%, 2001-03 ~12%. Bubble-period IPO median age 5y, fraction with negative EPS rose to ~80%. |
| 286 | Fama-French 2004 New Lists | Eugene Fama, Kenneth French | 2004 | Journal of Financial Economics 73(2), 229-269 |
https://doi.org/10.1016/j.jfineco.2003.04.001 |
Profile of new listings 1973-2001: profitability of new lists fell sharply (cohort distribution shifted to negative earnings); growth higher but mortality much higher. Loss-making new lists more common in tech. |
| 292 | Helwege-Liang 2004 IPO Hot Markets | Jean Helwege, Nellie Liang | 2004 | Journal of Financial and Quantitative Analysis 39(3), 541-569 |
https://doi.org/10.1017/S0022109000004026 |
Hot-market IPOs (clusters of high IPO volume) underperform: 5y BHAR ~ -30% vs cold-market IPOs. Driven by overvaluation / window dressing. |
| 304 | Welch 2004 "Capital Structure and Stock Returns" | Ivo Welch | 2004 | Journal of Political Economy 112(1): 106-131 |
https://doi.org/10.1086/379933 |
Stock returns are the dominant driver of capital structure changes; firms do NOT issue securities to counteract equity-price-induced D/E movements. |
| 323 | Almeida-Campello-Weisbach 2004 "The Cash Flow Sensitivity of Cash" | Heitor Almeida; Murillo Campello; Michael S. Weisbach | 2004 | Journal of Finance 59(4): 1777-1804 |
https://doi.org/10.1111/j.1540-6261.2004.00679.x |
Financially constrained firms hoard cash; explains why low-leverage firms in some samples are quality, others are constrained. |
| 489 | Cavusoglu-Mishra-Raghunathan 2004 Data Breach | Cavusoglu, H.; Mishra, B.; Raghunathan, S. | 2004 | International Journal of Electronic Commerce 9(1): 70-104 | Public data breaches yield -2.1% [-1,+1] CAR; pure-internet firms suffer significantly more (-5%). | |
| 496 | Chen-Noronha-Singal 2004 S&P Index Effect | Chen, H.; Noronha, G.; Singal, V. | 2004 | Journal of Finance 59(4): 1901-1930 | Inclusion +5.5% permanent; deletion -8.5% but recovers. Asymmetry due to investor recognition. | |
| 498 | Sharma-Lacey 2004 Pharma Phase Failures | Sharma, A.; Lacey, N. | 2004 | Journal of Healthcare Marketing | Phase III failure announcement: average -33% one-day CAR; small biotechs lose -50% to -70%; large pharma -10% to -15%. | |
| 638 | George Hwang 2004 52WHigh | Thomas J. George, Chuan-Yang Hwang | 2004 | Journal of Finance 59(5) |
https://doi.org/10.1111/j.1540-6261.2004.00695.x |
52週高値近接度は予測力がモメンタムよりも強く、1963-2001米国で年率+0.45%/月の超過リターン。 |
| 653 | Dorsey 2004 Five Rules | Pat Dorsey | 2004 | Five Rules for Successful Stock Investing (Wiley) | Morningstar wide-moat銘柄(無形資産・スイッチングコスト・ネットワーク・コスト優位・規模優位)は1990s-2000s年率+2-3%超過。 | |
| 8 | Chan-Karceski-Lakonishok 2003 | Louis Chan, Jason Karceski, Josef Lakonishok | 2003 | Journal of Finance 58(2) |
https://onlinelibrary.wiley.com/doi/10.1111/1540-6261.00540 DOI: 10.1111/1540-6261.00540 |
EPS成長持続性の代表的実証。トップ分位の5年後維持率はランダム水準とほぼ変わらない（弱い persistence）。 |
| 128 | Anderson-Reeb 2003 "Founding-Family Ownership and Firm Performance" | Ronald Anderson, David Reeb | 2003 | Journal of Finance 58(3) |
https://onlinelibrary.wiley.com/doi/10.1111/1540-6261.00567 |
S&P500のうちファミリー企業はROAで約6.6%、Tobins Qで約10%、非ファミリー企業より優れる。創業者CEOは特にパフォーマンスが高い。 |
| 246 | Bens-Nagar-Skinner-Wong 2003 | Bens, D.; Nagar, V.; Skinner, D.; Wong, M. | 2003 | Journal of Accounting and Economics 36(1-3) |
https://doi.org/10.1016/j.jacceco.2003.10.006 DOI: 10.1016/j.jacceco.2003.10.006 |
Employee Stock Options, EPS Dilution, and Stock Repurchases. SBC dilution offsets EPS; firms repurchase to mask dilution. |
| 289 | Schultz 2003 Pseudo Market Timing | Paul Schultz | 2003 | Journal of Finance 58(2), 483-518 |
https://doi.org/10.1111/1540-6261.00535 |
Argues that long-run IPO underperformance documented in Ritter 1991 is partly statistical artifact of clustering: more firms IPO when valuations high, then later cohorts underperform mechanically. |
| 294 | Ofek-Richardson 2003 DotCom Mania | Eli Ofek, Matthew Richardson | 2003 | Journal of Finance 58(3), 1113-1137 |
https://doi.org/10.1111/1540-6261.00560 |
Internet bubble: median internet stock fell 80% from peak (Mar 2000) to Dec 2002. Lockup expirations and short-sale constraints explain pricing dynamics. |
| 359 | Bain Net Promoter System Economics of Loyalty | Fred Reichheld, Bain & Company | 2003 | Bain & Company Insights |
https://www.bain.com/insights/the-economics-of-loyalty/ |
Foundational paper on Net Promoter System: NPS explains 20-60% of variation in organic growth across industries; NPS leaders outgrow competitors by >2x. |
| 393 | Reichheld 2003 "The One Number You Need to Grow" (Net Promoter Score) | Reichheld, Frederick F. | 2003 | Harvard Business Review, December 2003 |
https://hbr.org/2003/12/the-one-number-you-need-to-grow |
Introduces Net Promoter Score (NPS) as predictor of company growth. Across studied industries, top NPS leaders grew at >2x average industry growth rate. Bain follow-up research extends linkage to TSR and customer-retention economics. |
| 411 | Anderson-Banker-Janakiraman 2003 "Are Selling, General, and Administrative Costs Sticky?" | Anderson, Mark C.; Banker, Rajiv D.; Janakiraman, Surya N. | 2003 | Journal of Accounting Research, Vol. 41, No. 1, pp. 47-63 |
https://onlinelibrary.wiley.com/doi/10.1111/1475-679X.00095 DOI: 10.1111/1475-679X.00095 |
Documents cost stickiness: SG&A costs rise ~0.55% per 1% increase in revenue but fall only ~0.35% per 1% decrease. Asymmetry implies effective operating leverage is higher in revenue declines than rises -> EPS more sensitive to recessions. |
| 431 | McKinsey "Pricing: The Next Frontier of Value Creation" (Marn-Roegner-Zawada 2003 / The Price Advantage updates) | Marn, Michael V.; Roegner, Eric V.; Zawada, Craig C. | 2003 | McKinsey Quarterly / Wiley book "The Price Advantage" (2004, updates 2010, 2018) |
https://www.mckinsey.com/capabilities/growth-marketing-and-sales/our-insights/the-power-of-pricing |
McKinsey practitioner finding: a 1% improvement in price (volumes held constant) yields ~8-11% increase in operating profit for typical S&P 500 industrial; pricing is the highest-leverage value driver vs variable cost (-1% -> ~5-7%) and volume (+1% -> ~3-4%). |
| 437 | Asness 2003 Fight the Fed Model | Clifford S. Asness | 2003 | Journal of Portfolio Management 30(1): 11-24 |
https://doi.org/10.3905/jpm.2003.319916 DOI: 10.3905/jpm.2003.319916 |
E/Pと債券利回り比較(Fed model)を統計的に否定。E/P絶対水準が将来リターン予測 |
| 459 | Schwert 2003 Anomalies and Market Efficiency | G. William Schwert | 2003 | Handbook of the Economics of Finance Vol1B |
https://doi.org/10.1016/S1574-0102(03)01024-0 DOI: 10.1016/S1574-0102(03)01024-0 |
バリュー・サイズ・モメンタム等アノマリーの長期実証サーベイ |
| 519 | Gompers-Ishii-Metrick 2003 Corporate Governance Equity Prices | Gompers, P.A.; Ishii, J.L.; Metrick, A. | 2003 | Quarterly Journal of Economics 118(1), 107-156 |
https://doi.org/10.1162/00335530360535162 DOI: 10.1162/00335530360535162 |
G-Index(24項目株主権スコア)。democracy銘柄が dictatorship銘柄をα+8.5%/年で上回った(1990-99)。 |
| 528 | Hendricks-Singhal 2003 Supply Chain Glitches Shareholder Wealth | Hendricks, K.B.; Singhal, V.R. | 2003 | Journal of Operations Management 21(5), 501-522 |
https://doi.org/10.1016/j.jom.2003.02.003 DOI: 10.1016/j.jom.2003.02.003 |
サプライ分断announcement abnormal return ‐10.28%/2日窓、‐40%/1年。回復に2年以上かかる。 |
| 545 | Coffee 2003 What Caused Enron | Coffee, J.C. | 2003 | Cornell Law Review 89, 269-309 |
https://scholarship.law.cornell.edu/clr/vol89/iss2/2 |
エンロン崩壊原因分析: ガバナンス失敗・監査人独立性欠如・stock-based compensationのincentive歪み。 |
| 589 | Bloom Canning Sevilla 2003 Demographic Dividend | David Bloom; David Canning; Jaypee Sevilla | 2003 | RAND MR-1274 (book) |
https://www.rand.org/pubs/monograph_reports/MR1274.html |
Empirical analysis of demographic dividend / drag on long-run real GDP growth. |
| 601 | Nelson 2003 TED Spread Banking Crisis | Edward Nelson | 2003 | St. Louis Fed Working Paper 2003-018A |
https://research.stlouisfed.org/wp/2003/2003-018.pdf |
TED-spread analysis as a measure of bank funding stress (used in 2007-08 references). |
| 633 | Anderson Reeb 2003 Family Firms | Ronald C. Anderson, David M. Reeb | 2003 | Journal of Finance 58(3) |
https://doi.org/10.1111/1540-6261.00567 |
S&P500 1992-1999で家族保有企業(全体の35%)はROA・Tobin Qともに非家族企業を有意に上回る。家族CEOがいる場合に効果最大。 |
| 706 | Chan-Karceski-Lakonishok Level and Persistence of Growth Rates 2003 | Louis K. C. Chan; Jason Karceski; Josef Lakonishok | 2003 | Journal of Finance |
https://doi.org/10.1111/1540-6261.00540 DOI: 10.1111/1540-6261.00540 |
Long-term operating and earnings growth persistence is weak; very high long-term growth is rare. |
| 789 | Chan Karceski Lakonishok growth persistence evidence | Louis K. C. Chan; Jason Karceski; Josef Lakonishok | 2003 | Journal of Finance |
https://experts.illinois.edu/en/publications/the-level-and-persistence-of-growth-rates DOI: 10.1111/1540-6261.00540 |
Broad public-firm evidence finds high long-term earnings growth is rare and weakly predictable; supports keeping software scale-up persistence gated rather than broadly raising growth assumptions. |
| 34 | Amihud 2002 | Yakov Amihud | 2002 | Journal of Financial Markets 5(1) |
https://doi.org/10.1016/S1386-4181(01)00024-6 DOI: 10.1016/S1386-4181(01)00024-6 |
流動性プレミアム実証。流動性低い株は年率2-4%超過リターン。 |
| 39 | IBM Turnaround case (Gerstner) | Louis Gerstner | 2002 | HarperBusiness (book) | 1993-2002 IBM ターンアラウンド事例。代表的回復成功例。 | |
| 97 | Hayashi & Prescott 2002 | Fumio Hayashi, Edward C. Prescott | 2002 | Review of Economic Dynamics 5(1) |
https://www.minneapolisfed.org/research/sr/sr294.pdf |
Seminal account of Japan's lost decade as a productivity slowdown rather than a demand failure. Used as anchor for JP lost-decade growth assumptions. |
| 267 | Loughran-Ritter 2002 Money on the Table | Tim Loughran, Jay R. Ritter | 2002 | Review of Financial Studies 15(2), 413-444 |
https://doi.org/10.1093/rfs/15.2.413 |
Why issuers do not get upset about underpricing: prospect-theory and bargaining model. Documents "money left on the table" (avg ~$9M per IPO in late-1990s, much larger in 1999-2000) and links high-underpricing IPOs to subsequent long-run underperformance. |
| 396 | Grabowski-Vernon-DiMasi 2002 "Returns on Research and Development for 1990s New Drug Introductions" | Grabowski, Henry; Vernon, John; DiMasi, Joseph A. | 2002 | PharmacoEconomics, Vol. 20, Suppl. 3, pp. 11-29 |
https://link.springer.com/article/10.2165/00019053-200220003-00002 DOI: 10.2165/00019053-200220003-00002 |
Distribution of pharmaceutical R&D returns is highly skewed: top decile drugs produce most of the returns; mean after-tax IRR on 1990s NCEs ~11.5% (vs ~10.5% cost of capital). Long-tail nature of pharma economics anchors patent-cliff risk math. |
| 472 | Skinner-Sloan 2002 Earnings Surprises | Skinner, D. J.; Sloan, R. G. | 2002 | Review of Accounting Studies 7: 289-312 | Growth firms suffer asymmetric punishment to negative earnings surprises: average abnormal return -4% to -5% per 1% miss. | |
| 473 | Bartov-Givoly-Hayn 2002 Meet Beat | Bartov, E.; Givoly, D.; Hayn, C. | 2002 | Journal of Accounting and Economics 33(2): 173-204 | Firms meeting/beating analyst forecasts earn 3-7% higher quarterly abnormal returns than those missing. | |
| 491 | Bhagat-Romano 2002 Lawsuits | Bhagat, S.; Romano, R. | 2002 | American Law and Economics Review 4(1): 141-167 | Class action securities lawsuit filings: -2% [-1,+1] CAR; settlement vs trial loss differential significant. | |
| 783 | Dividends, Share Repurchases, and the Substitution Hypothesis | Gustavo Grullon; Roni Michaely | 2002 | Journal of Finance |
https://ideas.repec.org/a/bla/jfinan/v57y2002i4p1649-1684.html DOI: 10.1111/1540-6261.00474 |
Repurchases became an important payout channel and are partly financed with funds that otherwise would have increased dividends; supports treating payout channels as substitutes sharing a capital-return budget. |
| 18 | Foster (BCG) "Creative Destruction" | Richard Foster & Sarah Kaplan | 2001 | McKinsey/Doubleday (book) | S&P500寿命中央値1958年=61年→2012年=18年に短縮。産業構造変化期は回復率が通常の半分以下。 | |
| 30 | Cornell & Liu 2001 | Bradford Cornell & Qiao Liu | 2001 | Pacific-Basin Finance Journal | 日本企業のフォローアップ研究、長期低迷ケーススタディ多数。 | |
| 110 | Andrade-Mitchell-Stafford 2001 "New Evidence on M&A" | Gregor Andrade, Mark Mitchell, Erik Stafford | 2001 | Journal of Economic Perspectives 15(2) |
https://www.aeaweb.org/articles?id=10.1257/jep.15.2.103 |
1973-1998の米国M&Aデータ。買収側CARは公表時 -0.7%、ターゲットは+16%。長期では買収側のリターンは小さくマイナス傾向。 |
| 126 | Chan-Lakonishok-Sougiannis 2001 "The Stock Market Valuation of R&D Expenditures" | Louis Chan, Josef Lakonishok, Theodore Sougiannis | 2001 | Journal of Finance 56(6) |
https://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00411 |
R&D集約度が高い企業 (R&D/Sales > 5%) は超過リターンを示す。R&D/MV最高五分位は最低五分位を年率約7%上回る。R&D成果は会計に反映されないため市場が過小評価。 |
| 130 | Lakonishok-Lee 2001 "Are Insider Trades Informative?" | Josef Lakonishok, Inmoo Lee | 2001 | Review of Financial Studies 14(1) |
https://academic.oup.com/rfs/article/14/1/79/1579691 |
インサイダー買いは将来リターン予測力あり。買い超企業は12ヶ月後+7.8%超過リターン、売り超企業は予測力弱い。小型株でシグナルが特に強い。 |
| 147 | Fama-French 2001 "Disappearing Dividends" | Eugene Fama, Kenneth French | 2001 | Journal of Financial Economics 60(1) |
https://www.sciencedirect.com/science/article/abs/pii/S0304405X01000383 |
1978-1999で配当銘柄は66%→20%に減少。配当銘柄は無配銘柄より大型・高ROA・低成長機会。配当開始/停止には強い情報シグナル効果。 |
| 238 | Daniel-Titman-Wei 2001 | Daniel, K.; Titman, S.; Wei, J. | 2001 | Journal of Finance 56(2) |
https://doi.org/10.1111/0022-1082.00345 DOI: 10.1111/0022-1082.00345 |
Explaining the Cross-Section of Stock Returns in Japan: Factors or Characteristics? Strong B/M premium ~6%/yr in Japan; size weaker post-1990. |
| 255 | Nissim-Penman 2001 "Ratio Analysis and Equity Valuation" | Doron Nissim; Stephen H. Penman | 2001 | Review of Accounting Studies |
http://www.columbia.edu/~dn75/Ratio_analysis_and_equity_valuation_From_research_to_practice.pdf |
Compustat firms 1963-1999. Decomposition of ROCE persistence; documents typical long-run steady-state ratio levels and mean reversion of components. |
| 295 | Cooper-Dimitrov-Rau 2001 dotcom Effect | Michael Cooper, Orlin Dimitrov, P. Raghavendra Rau | 2001 | Journal of Finance 56(6), 2371-2388 |
https://doi.org/10.1111/0022-1082.00408 |
Documents the "dotcom" name change effect: firms that added .com / .net / Internet to name during 1998-99 earned cumulative abnormal returns of +74% in 10 days around announcement, regardless of actual business model. |
| 331 | Hoshi-Kashyap "Corporate Financing and Governance in Japan: The Road to the Future" | Takeo Hoshi; Anil K. Kashyap | 2001 | MIT Press (book) | Japanese firms historically high bank-debt leverage with main-bank monitoring; shift toward bond/equity markets and lower D/E post-1990s. | |
| 376 | Foster-Kaplan "Creative Destruction: Why Companies That Are Built to Last Underperform the Market" | Richard Foster, Sarah Kaplan | 2001 | Currency/Doubleday |
https://www.penguinrandomhouse.com/books/176787/creative-destruction-by-richard-foster-and-sarah-kaplan/ |
1957年S&P 500 構成500社のうち1998年でも残存し独立企業として運営しているのは74社 (15%)。S&P構成銘柄tenure 1935年 75年 → 1990年 30年 → 1998年 約20年 → 2020s 18年。1980年代以降の上場企業survivalrate激減を実証。 |
| 481 | Dichev-Piotroski 2001 Bond Rating Changes | Dichev, I. D.; Piotroski, J. D. | 2001 | Journal of Finance 56(1): 173-203 | Bond downgrades (from above-IG to below-IG especially) trigger -10% to -14% one-year stock returns. Upgrades show no significant return. | |
| 504 | Mitchell-Pulvino 2001 Risk Arbitrage | Mitchell, M.; Pulvino, T. | 2001 | Journal of Finance 56(6): 2135-2175 | Average target premium in completed M&A: 31% to 41% (over pre-announcement); transaction costs reduce arb returns to 4%. | |
| 508 | Almgren-Chriss 2001 Block Trade Impact | Almgren, R.; Chriss, N. | 2001 | Journal of Risk | Permanent price impact of block trades scales as ~k * sqrt(volume/ADV); ADV-relative trades of 5% generate ~30bp permanent impact. | |
| 634 | Lakonishok Lee 2001 Insider Trades | Josef Lakonishok, Inmoo Lee | 2001 | Review of Financial Studies 14(1) |
https://doi.org/10.1093/rfs/14.1.79 |
1975-1995年米国Form 4データで、役員買い銘柄は買い後12カ月で市場対比+4.8%、cluster買いは+7-8%。売りシグナルは予測力弱い。 |
| 707 | Shumway Forecasting Bankruptcy More Accurately 2001 | Tyler Shumway | 2001 | Journal of Business |
https://doi.org/10.1086/209665 DOI: 10.1086/209665 |
A hazard model using market size, past returns, and return volatility improves bankruptcy prediction. |
| 740 | Campbell Shiller Valuation Ratios Long-Run Outlook | John Y. Campbell; Robert J. Shiller | 2001 | NBER / Journal perspective |
https://www.nber.org/papers/w8221 |
Valuation ratios forecast long-run stock price changes better than future earnings/dividend growth; high valuation implies lower long-run returns but poor short-term timing. |
| 9 | Fama-French 2000 "Forecasting Profitability and Earnings" | Eugene Fama & Kenneth French | 2000 | Journal of Business 73(2) |
https://www.jstor.org/stable/10.1086/209638 DOI: 10.1086/209638 |
利益率と利益成長は強い平均回帰。半減期3-5年程度。 |
| 22 | Pandit 2000 (BCG) | Nitin Pandit | 2000 | Strategy & Business | ターンアラウンド成功事例の業績悪化→EPSピーク回復までの中央値6.5年。 | |
| 28 | Hong-Lim-Stein 2000 | Harrison Hong, Terence Lim, Jeremy Stein | 2000 | Journal of Finance 55(1) |
https://doi.org/10.1111/0022-1082.00206 DOI: 10.1111/0022-1082.00206 |
アナリストによる悪材料予測の遅延（bad news travels slowly）。 |
| 137 | Mitchell-Stafford 2000 "Managerial Decisions and Long-Term Stock Price Performance" | Mark Mitchell, Erik Stafford | 2000 | Journal of Business 73(3) |
https://www.jstor.org/stable/10.1086/209650 |
1961-1993米国買収企業の長期リターン分析。3年累積異常リターン (BHAR) は約-4%。Calendar-time portfolio approachでは統計的に有意でない領域も多い。 |
| 150 | Schwert 2000 "Hostility in Takeovers: In the Eyes of the Beholder?" | G. William Schwert | 2000 | Journal of Finance 55(6) |
https://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00301 |
敵対的買収 (hostile) は友好的買収よりプレミアムが大きいが、長期リターンに有意差なし。「敵対」のラベルは交渉プロセスの結果でしかなく、本質的な価値創造の差は小さい。 |
| 196 | AQR Style Timing Value vs Growth | Cliff Asness, Jacques Friedman, Robert Krail, John Liew | 2000 | Journal of Portfolio Management 26(3), 50-60 |
https://www.aqr.com/Insights/Research/Journal-Article/Style-Timing-Value-versus-Growth |
Examines whether value vs growth can be timed by valuation spread. Finds spread predicts forward 3-5y value-minus-growth returns with R2 ~25%. |
| 215 | Piotroski 2000 | Piotroski, J. | 2000 | Journal of Accounting Research 38 (Supplement) |
https://doi.org/10.2307/2672906 DOI: 10.2307/2672906 |
Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers. F-Score 8-9 portfolio outperforms F-Score 0-1 by 23%/yr in high-BM universe 1976-1996. |
| 233 | Whaley 2000 | Whaley, R. | 2000 | Journal of Portfolio Management 26(3) |
https://doi.org/10.3905/jpm.2000.319728 DOI: 10.3905/jpm.2000.319728 |
The Investor Fear Gauge. High VIX (>30) historically followed by above-average S&P returns 30-60 days. |
| 235 | Barber-Odean 2000 | Barber, B.; Odean, T. | 2000 | Journal of Finance 55(2) |
https://doi.org/10.1111/0022-1082.00226 DOI: 10.1111/0022-1082.00226 |
Trading is Hazardous to Your Wealth. Most-active individual investors underperform by 6.5%/yr after costs (1991-1996). |
| 236 | Chan-Hameed-Tong 2000 | Chan, K.; Hameed, A.; Tong, W. | 2000 | Journal of Financial and Quantitative Analysis 35(2) |
https://doi.org/10.2307/2676188 DOI: 10.2307/2676188 |
Profitability of Momentum Strategies in the International Equity Markets. Japan a notable exception: momentum effect statistically insignificant; period 1980-1995. |
| 270 | Brav-Geczy-Gompers 2000 Anomalous | Alon Brav, Christopher Geczy, Paul Gompers | 2000 | Journal of Financial Economics 56(2), 209-249 |
https://doi.org/10.1016/S0304-405X(00)00040-4 |
Long-run returns to IPOs and SEOs are not anomalous once Fama-French style risk-based factor matching is used: small low-B/M factor premia drive most of it. |
| 328 | Graham 2000 "How Big Are the Tax Benefits of Debt?" | John R. Graham | 2000 | Journal of Finance 55(5): 1901-1941 |
https://doi.org/10.1111/0022-1082.00277 |
Tax shield value of debt averages ~9-10% of firm value at observed leverage; firms could increase leverage to add another ~7% but choose not to (under-leverage puzzle). |
| 436 | Shiller 2000 Irrational Exuberance | Robert J. Shiller | 2000 | Princeton University Press |
https://press.princeton.edu/books/paperback/9780691166261/irrational-exuberance |
CAPE>25時のバブル警告、高CAPE後の長期リターン低下を歴史データで示す |
| 469 | Bamber-Christensen-Gaver 2000 ERC | Bamber, L. S.; Christensen, T. E.; Gaver, K. M. | 2000 | Accounting and Business Research 30(2): 103-115 | Surveys earnings response coefficient (ERC) literature; ERC typically 1-3 implying market overreacts/underreacts depending on persistence. | |
| 639 | Hong Lim Stein 2000 Coverage | Harrison Hong, Terence Lim, Jeremy C. Stein | 2000 | Journal of Finance 55(1) |
https://doi.org/10.1111/0022-1082.00206 |
アナリスト・カバレッジ少数(下位1/3)銘柄でモメンタムが2倍強化。情報が緩慢に拡散。 |
| 686 | IBM Annual Reports 1993-2000 | IBM Corporation | 2000 | SEC EDGAR | IBM 1993年Gerstner就任時株価約$12→2000ピーク約$120。約10倍 (700-900%)。services pivotの成功事例。 | |
| 705 | Fama-French Forecasting Profitability and Earnings 2000 | Eugene F. Fama; Kenneth R. French | 2000 | Journal of Business |
https://doi.org/10.1086/209638 DOI: 10.1086/209638 |
Profitability and earnings tend to mean revert; the speed is higher when profitability is far from normal and below normal. |
| 728 | Fama French Forecasting Profitability and Earnings | Eugene F. Fama; Kenneth R. French | 2000 | Journal of Business 73(2):161-175 |
https://ideas.repec.org/a/ucp/jnlbus/v73y2000i2p161-75.html |
Profitability and earnings are mean reverting; partial-adjustment estimates imply substantial annual reversion toward normal profitability. |
| 742 | AQR Style Timing Value versus Growth | Clifford S. Asness; Jacques A. Friedman; Robert J. Krail; John M. Liew | 2000 | Journal of Portfolio Management / AQR |
https://www.aqr.com/-/media/AQR/Documents/Journal-Articles/Style-Timing-Value.PDF?sc_lang=en |
Value spread and expected earnings-growth spread predicted value-vs-growth returns in 1982-1999 sample; spread-only R2 about 22.8%, combined about 38.7%. |
| 113 | KPMG "Unlocking Shareholder Value: The Keys to Success" M&A study | KPMG | 1999 | KPMG Transaction Services |
https://kpmg.com/ |
1996-1998のクロスボーダー大型M&A 700件分析。83%が株主価値を増加させなかった、17%のみが成功と判定。 |
| 194 | Rouwenhorst 1999 Local Return Factors and Turnover in Emerging Stock Markets | Geert Rouwenhorst | 1999 | Journal of Finance 54(4), 1439-1464 |
https://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00151 |
Documents value, momentum, size factors in 20 emerging markets 1982-1997. Size and value premia robust in EM; small-cap premium in EM ~6-7% annualised. |
| 217 | Beneish 1999 | Beneish, M. | 1999 | Financial Analysts Journal 55(5) |
https://doi.org/10.2469/faj.v55.n5.2296 DOI: 10.2469/faj.v55.n5.2296 |
The Detection of Earnings Manipulation. M-Score logit model identifies ~76% of earnings manipulators with 17.5% Type-I error. Cutoff -2.22 / -1.78. |
| 288 | Lyon-Barber-Tsai 1999 Improved Methods | John D. Lyon, Brad M. Barber, Chih-Ling Tsai | 1999 | Journal of Finance 54(1), 165-201 |
https://doi.org/10.1111/0022-1082.00101 |
Methodology for long-run abnormal returns: BHAR vs CAR, calendar-time vs event-time, pseudo-portfolio bootstrapping. Industry standard for IPO long-run studies. |
| 315 | Spiess-Affleck-Graves 1999 "The Long-Run Performance of Stock Returns Following Debt Offerings" | D. Katherine Spiess; John Affleck-Graves | 1999 | Journal of Financial Economics 54(1): 45-73 |
https://doi.org/10.1016/S0304-405X(99)00031-8 |
Debt-issuing firms underperform matched non-issuers by ~14% over 5 years post-issue, especially convertibles and non-investment-grade. |
| 745 | Stambaugh Predictive Regressions | Robert F. Stambaugh | 1999 | NBER Technical Working Paper |
https://www.nber.org/papers/t0240 |
Persistent predictors and long-horizon regressions can generate bias; overlapping windows exaggerate effective sample size. |
| 773 | Valuing IPOs | Kim; Ritter | 1999 | Journal of Financial Economics |
https://www.sciencedirect.com/science/article/pii/S0304405X99000276 DOI: 10.1016/S0304-405X(99)00027-6 |
Comparable multiples, including price-to-sales, have use for young growth firms but are imprecise and require adjustment for profitability and growth differences. |
| 88 | Estrella & Mishkin 1998 | Arturo Estrella, Frederic S. Mishkin | 1998 | Review of Economics and Statistics 80(1) |
https://www.newyorkfed.org/research/staff_reports/sr30.html |
Probit model of US recessions using yield curve slope (10y-3m). Foundational empirical evidence that yield-curve inversion predicts recessions 12 months ahead. |
| 227 | Daniel-Hirshleifer-Subrahmanyam 1998 | Daniel, K.; Hirshleifer, D.; Subrahmanyam, A. | 1998 | Journal of Finance 53(6) |
https://doi.org/10.1111/0022-1082.00077 DOI: 10.1111/0022-1082.00077 |
Investor Psychology and Security Market Under- and Overreactions. Overconfidence + biased self-attribution explain momentum + long-term reversal. |
| 228 | Barberis-Shleifer-Vishny 1998 | Barberis, N.; Shleifer, A.; Vishny, R. | 1998 | Journal of Financial Economics 49(3) |
https://doi.org/10.1016/S0304-405X(98)00027-0 DOI: 10.1016/S0304-405X(98)00027-0 |
A Model of Investor Sentiment. Conservatism (underreaction) + representativeness (overreaction) generate PEAD + reversals. |
| 306 | Dichev 1998 "Is the Risk of Bankruptcy a Systematic Risk?" | Ilia D. Dichev | 1998 | Journal of Finance 53(3): 1131-1147 |
https://doi.org/10.1111/0022-1082.00046 |
High-bankruptcy-risk stocks (high Z-score / O-score) earn ABNORMALLY LOW returns 1981-1995. Distress risk is NOT a priced systematic risk factor. |
| 329 | Rajan-Zingales 1998 "Financial Dependence and Growth" | Raghuram G. Rajan; Luigi Zingales | 1998 | American Economic Review 88(3): 559-586 |
https://www.jstor.org/stable/116849 |
Industries that depend on external finance grow faster in countries with developed financial markets; leverage availability accelerates growth. |
| 342 | Lieberman & Montgomery First-Mover (Dis)Advantages 1998 | Marvin B. Lieberman, David B. Montgomery | 1998 | Strategic Management Journal 19 (12): 1111-1125 |
https://www.anderson.ucla.edu/faculty/marvin.lieberman/publications/FMA2-SMH1998.pdf |
Retrospective: empirical first-mover effects mostly observed on market share, not on profitability or survival; results sensitive to research design choices. |
| 441 | Fama-French 1998 Value vs Growth The International Evidence | Eugene F. Fama, Kenneth R. French | 1998 | Journal of Finance 53(6): 1975-1999 |
https://doi.org/10.1111/0022-1082.00080 DOI: 10.1111/0022-1082.00080 |
13ヶ国でバリュー>グラマーを実証 (1975-1995). HMLグローバル化 |
| 447 | Bauman-Conover-Miller 1998 Growth versus Value and Large-Cap versus Small-Cap | W. Scott Bauman, C. Mitchell Conover, Robert E. Miller | 1998 | Financial Analysts Journal 54(2): 75-89 |
https://doi.org/10.2469/faj.v54.n2.2168 DOI: 10.2469/faj.v54.n2.2168 |
21ヶ国 1986-1996 でバリュー>グラマーを確認 (国際実証) |
| 537 | Bhagat-Bizjak-Coles 1998 Litigation Effect Stock | Bhagat, S.; Bizjak, J.; Coles, J.L. | 1998 | Journal of Financial Economics 47(2), 221-247 |
https://doi.org/10.1016/S0304-405X(97)00045-9 DOI: 10.1016/S0304-405X(97)00045-9 |
訴訟提起announcement: 抗トラスト訴訟-0.85%、製造物責任-0.79%、特許-1.4%。提訴後1年で約半分回復。 |
| 580 | Bram Ludvigson 1998 NY Fed Consumer Confidence | Jason Bram; Sydney Ludvigson | 1998 | FRBNY Economic Policy Review (June 1998) |
https://www.newyorkfed.org/research/epr/98v04n2/9806bram.html |
NY Fed paper on Conference Board vs U-Mich; correlation with personal consumption expenditure (PCE) by category. |
| 659 | Bauman Conover Miller 1998 Growth Value | W. Scott Bauman, C. Mitchell Conover, Robert E. Miller | 1998 | Financial Analysts Journal 54(2) |
https://doi.org/10.2469/faj.v54.n2.2167 |
21カ国1986-1996バリュー(低PB)銘柄は成長(高PB)銘柄より年率+5-7%。 |
| 760 | Hamao Loughran Japanese Seasoned Equity Offerings | Yasushi Hamao; Tim Loughran | 1998 | Pacific-Basin Finance Journal |
https://www.sciencedirect.com/science/article/pii/S0927538X98000195 |
Japanese seasoned equity offerings show weak long-run performance, similar to US SEO evidence. |
| 20 | Christensen "The Innovators Dilemma" | Clayton Christensen | 1997 | Harvard Business Review Press (book) | 破壊的技術によるsecular decline中の既存企業の回復率は10-25%（ケーススタディ集約）。 | |
| 111 | Loughran-Vijh 1997 "Do Long-Term Shareholders Benefit From Corporate Acquisitions?" | Tim Loughran, Anand Vijh | 1997 | Journal of Finance 52(5) |
https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1997.tb01112.x |
5年累積異常リターン分析。株式交換型買収はバイ&ホールドで-24.2%、現金買収は+18.5%。支払方法と長期リターンの強い関係。 |
| 146 | Hayward-Hambrick 1997 "Explaining the Premiums Paid for Large Acquisitions: Evidence of CEO Hubris" | Mathew Hayward, Donald Hambrick | 1997 | Administrative Science Quarterly 42(1) |
https://journals.sagepub.com/doi/10.2307/2393810 |
CEOのhubris指標 (メディア称賛、最近の好業績、CEO報酬) が高い企業ほど買収プレミアム支払い大、買収後株主リターン悪化。 |
| 192 | Carhart 1997 On Persistence in Mutual Fund Performance | Mark Carhart | 1997 | Journal of Finance 52(1), 57-82 |
https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1997.tb03808.x |
Foundational paper for the Carhart 4-factor model: Mkt-Rf, SMB, HML, UMD (momentum). UMD ~9% annual premium 1963-1993. |
| 245 | Mikhail-Walther-Willis 1997 | Mikhail, M.; Walther, B.; Willis, R. | 1997 | Journal of Accounting Research 35 (Supplement) |
https://doi.org/10.2307/2491456 DOI: 10.2307/2491456 |
Do Security Analysts Improve Their Performance with Experience? Experience reduces forecast error ~5-10%, but firm-specific experience matters more than general. |
| 269 | Brav-Gompers 1997 Myth or Reality | Alon Brav, Paul Gompers | 1997 | Journal of Finance 52(5), 1791-1821 |
https://doi.org/10.1111/j.1540-6261.1997.tb02742.x |
Compares VC-backed vs non-VC-backed IPOs 1972-92. Non-VC IPOs underperform substantially; VC-backed IPOs roughly track Fama-French benchmarks. Emphasizes importance of size and B/M matching. |
| 449 | Dechow-Sloan 1997 Returns to Contrarian Investment Strategies | Patricia M. Dechow, Richard G. Sloan | 1997 | Journal of Financial Economics 43(1): 3-27 |
https://doi.org/10.1016/S0304-405X(96)00897-6 DOI: 10.1016/S0304-405X(96)00897-6 |
アナリスト予想の系統的バイアスがLakonishok-Shleifer-Vishny効果を生む |
| 468 | MacKinlay 1997 Event Studies | MacKinlay, A. C. | 1997 | Journal of Economic Literature 35(1): 13-39 | Survey of event-study methodology. Establishes [-1,+1] window standards and CAR aggregation. | |
| 509 | Loughran-Vijh 1997 Cash vs Stock | Loughran, T.; Vijh, A. M. | 1997 | Journal of Finance 52(5): 1765-1790 | Stock-financed acquirers underperform cash-financed by ~42pp over 5 years post-merger; difference persistent across deal types. | |
| 663 | Greenblatt 1997 "You Can Be a Stock Market Genius" | Joel Greenblatt | 1997 | Simon & Schuster | スピンオフ・特殊状況投資の体系化。Gotham CapitalのスピンオフポートフォリオでS&P+15%/yr超のalphaを実証。 | |
| 142 | Lev-Sougiannis 1996 "The Capitalization, Amortization, and Value-Relevance of R&D" | Baruch Lev, Theodore Sougiannis | 1996 | Journal of Accounting and Economics 21(1) |
https://www.sciencedirect.com/science/article/abs/pii/0165410195004102 |
R&Dを資本化したケースでROICは平均15-25%改善 (償却年数業種別で異なる)。R&D集約企業は会計上のリターンが過小評価されている。 |
| 216 | Sloan 1996 | Sloan, R. | 1996 | The Accounting Review 71(3) |
https://www.jstor.org/stable/248290 |
Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? High-accruals decile earns -10.4%/yr abnormal return vs low-accruals. Foundational accruals anomaly. |
| 222 | Chan-Jegadeesh-Lakonishok 1996 | Chan, L.; Jegadeesh, N.; Lakonishok, J. | 1996 | Journal of Finance 51(5) |
https://doi.org/10.1111/j.1540-6261.1996.tb05222.x DOI: 10.1111/j.1540-6261.1996.tb05222.x |
Momentum Strategies. Earnings-momentum (analyst revision) strategy yields ~7-9%/yr alpha; PEAD persists 6 months. |
| 224 | Womack 1996 | Womack, K. | 1996 | Journal of Finance 51(1) |
https://doi.org/10.1111/j.1540-6261.1996.tb05205.x DOI: 10.1111/j.1540-6261.1996.tb05205.x |
Do Brokerage Analysts Recommendations Have Investment Value? Buy-recommendation upgrades show +3% 3-day & +2.4% 1-month drift; sells -9% 6-month drift. |
| 390 | Lev-Sougiannis 1996 "The Capitalization, Amortization, and Value Relevance of R&D" | Lev, Baruch; Sougiannis, Theodore | 1996 | Journal of Accounting and Economics, Vol. 21, Issue 1, pp. 107-138 |
https://www.sciencedirect.com/science/article/abs/pii/0165410195004102 DOI: 10.1016/0165-4101(95)00410-6 |
Estimates R&D capital and amortization. Finds R&D capital is value-relevant: associated with subsequent earnings, stock prices, and returns. Documents cross-sectional R&D-return relation interpreted as either compensation for risk or systematic mispricing of R&D-intensive firms. |
| 448 | La Porta 1996 Expectations and Cross-Section of Stock Returns | Rafael La Porta | 1996 | Journal of Finance 51(5): 1715-1742 |
https://doi.org/10.1111/j.1540-6261.1996.tb05223.x DOI: 10.1111/j.1540-6261.1996.tb05223.x |
アナリスト長期成長予想の上位/下位ポートフォリオ比較。高予想銘柄の継続的アンダー |
| 478 | Womack 1996 Brokerage Analyst Recs | Womack, K. L. | 1996 | Journal of Finance 51(1): 137-167 | Analyst upgrades earn +3% [-1,+1] CAR and downgrades -4% to -5%. Drift continues for 1-6 months. | |
| 29 | Loughran-Ritter 1995 | Tim Loughran & Jay Ritter | 1995 | Journal of Finance 50(1) |
https://doi.org/10.1111/j.1540-6261.1995.tb05166.x DOI: 10.1111/j.1540-6261.1995.tb05166.x |
IPO後3-5年の長期パフォーマンスは市場をアンダーパフォーム。 |
| 116 | Ikenberry-Lakonishok-Vermaelen 1995 "Market Underreaction to Open Market Share Repurchases" | David Ikenberry, Josef Lakonishok, Theo Vermaelen | 1995 | Journal of Financial Economics 39(2) |
https://www.sciencedirect.com/science/article/abs/pii/0304405X9500826Z |
米国1980-1990の自社株買い実施企業1,239社。発表後4年累積異常リターン+12.1%、バリュー銘柄では+45.3%、グラマー銘柄では有意でない。 |
| 120 | Michaely-Thaler-Womack 1995 "Price Reactions to Dividend Initiations and Omissions" | Roni Michaely, Richard Thaler, Kent Womack | 1995 | Journal of Finance 50(2) |
https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1995.tb04796.x |
配当開始後1年累積異常リターン+7.5%、3年累積+24.8%。配当停止後1年-11.0%、3年-15.3%。配当政策変更の長期ドリフト効果を確認。 |
| 293 | Loughran-Ritter 1995 New Issues Puzzle | Tim Loughran, Jay Ritter | 1995 | Journal of Finance 50(1), 23-51 |
https://doi.org/10.1111/j.1540-6261.1995.tb05166.x |
Foundational. IPO and SEO firms 1970-1990 underperform matched-size controls by ~30% over 5 years. Severe for small growth firms; less for VC-backed. |
| 303 | Rajan-Zingales 1995 "What Do We Know about Capital Structure? Some Evidence from International Data" | Raghuram G. Rajan; Luigi Zingales | 1995 | Journal of Finance 50(5): 1421-1460 |
https://doi.org/10.1111/j.1540-6261.1995.tb05184.x |
Cross-country G7 leverage determinants: tangibility (+), size (+), profitability (-), market-to-book (-). Japan and Germany higher book leverage than US/UK. |
| 314 | Loughran-Ritter 1995 "The New Issues Puzzle" | Tim Loughran; Jay R. Ritter | 1995 | Journal of Finance 50(1): 23-51 |
https://doi.org/10.1111/j.1540-6261.1995.tb05166.x |
Firms issuing equity earn -7%/yr vs non-issuers for 5 years post-issue. Issuance reduces leverage and signals overvaluation. |
| 484 | Michaely-Thaler-Womack 1995 Dividend Initiation | Michaely, R.; Thaler, R. H.; Womack, K. L. | 1995 | Journal of Finance 50(2): 573-608 | Dividend omissions: -7% announcement CAR plus -15% over 3 years. Initiations: +3.4% CAR plus +25% drift over 3 years. | |
| 505 | Loughran-Ritter 1995 SEO | Loughran, T.; Ritter, J. R. | 1995 | Journal of Finance 50(1): 23-51 | SEOs underperform matched non-issuers by ~7% per year over 5 years post-issue. | |
| 640 | Ikenberry Lakonishok Vermaelen 1995 | David Ikenberry, Josef Lakonishok, Theo Vermaelen | 1995 | Journal of Financial Economics 39(2-3) |
https://doi.org/10.1016/0304-405X(95)00826-Z |
1980-1990年米国自社株買い発表後4年間で価値株は+45.3% 超過リターン。 |
| 711 | Ikenberry-Lakonishok-Vermaelen Open Market Repurchases 1995 | David Ikenberry; Josef Lakonishok; Theo Vermaelen | 1995 | Journal of Financial Economics |
https://doi.org/10.1016/0304-405X(95)00826-Z DOI: 10.1016/0304-405X(95)00826-Z |
Open-market repurchase announcements are followed by positive long-horizon abnormal returns, especially for value stocks. |
| 47 | Lakonishok-Shleifer-Vishny 1994 | Josef Lakonishok, Andrei Shleifer, Robert W. Vishny | 1994 | Journal of Finance 49(5) |
https://www.nber.org/papers/w4360 DOI: 10.1111/j.1540-6261.1994.tb04772.x |
Documents 7-9% per year underperformance of glamour vs value stocks over 1968-1990 U.S. sample, attributing the gap to systematic earnings disappointment (extrapolation bias). Earnings of glamour stocks expected to grow 2.5% slower than value stocks but actually grew 38.6% slower per year. |
| 759 | Kang Stulz Japanese Corporate Finance | Jun-Koo Kang; Rene M. Stulz | 1994 | NBER |
https://www.nber.org/papers/w4908 DOI: 10.3386/w4908 |
Japanese security issuance announcement and issue-date evidence differs from US; issuance effect depends on firm context. |
| 17 | Pearce-Robbins 1993 | John Pearce & Keith Robbins | 1993 | Journal of Management 19(3) | ターンアラウンド研究のメタ分析: 全業種平均30-35%回復成功率。 | |
| 208 | Jegadeesh-Titman 1993 | Jegadeesh, N.; Titman, S. | 1993 | Journal of Finance 48(1) |
https://doi.org/10.1111/j.1540-6261.1993.tb04702.x DOI: 10.1111/j.1540-6261.1993.tb04702.x |
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. 6-12M momentum strategy yields ~12%/yr abnormal return on US stocks 1965-1989. |
| 210 | Fama-French 1993 | Fama, E.; French, K. | 1993 | Journal of Financial Economics 33(1) |
https://doi.org/10.1016/0304-405X(93)90023-5 DOI: 10.1016/0304-405X(93)90023-5 |
Common Risk Factors in the Returns on Stocks and Bonds. SMB and HML factors; HML earned 4.4-5.0%/yr 1963-1991. |
| 485 | Karpoff-Lott 1993 Reputational Penalty | Karpoff, J. M.; Lott, J. R. | 1993 | Journal of Law and Economics 36(2): 757-802 | Firms charged with criminal fraud lose ~6.5% of market value; ~93% of loss is reputational damage not legal penalty. | |
| 573 | Boudoukh Richardson 1993 "Stock Returns and Inflation" | Boudoukh Jacob; Richardson Matthew | 1993 | Financial Analysts Journal 49 (6) 47-52 |
https://doi.org/10.2469/faj.v49.n6.47 |
Long-horizon (1802-1990) cross-section: stocks positively related with inflation in long horizons; negative short-run reaction. |
| 636 | Jegadeesh Titman 1993 Momentum | Narasimhan Jegadeesh, Sheridan Titman | 1993 | Journal of Finance 48(1) |
https://doi.org/10.1111/j.1540-6261.1993.tb04702.x |
過去6-12カ月リターン上位デシルが翌3-12カ月でも有意+1%/月の超過リターン。1965-1989米国NYSE/AMEX。 |
| 658 | Lynch Rothchild 1993 Beating Street | Peter Lynch, John Rothchild | 1993 | Beating the Street (Simon & Schuster) | 21の選定原則。経営者持株増・自社株買い・低機関保有・新高値・PEG<1。 | |
| 664 | Cusatis-Miles-Woolridge 1993 "Restructuring Through Spinoffs" | Patrick J. Cusatis, James A. Miles, J. Randall Woolridge | 1993 | Journal of Financial Economics 33 |
https://doi.org/10.1016/0304-405X(93)90009-Z |
1965-1988年米国スピンオフ146件。スピンオフ後3年間、市場対比+76%超過リターン。親会社も+33%超過。 |
| 148 | Healy-Palepu-Ruback 1992 "Does Corporate Performance Improve After Mergers?" | Paul Healy, Krishna Palepu, Richard Ruback | 1992 | Journal of Financial Economics 31(2) |
https://www.sciencedirect.com/science/article/abs/pii/0304405X9290002F |
1979-1984の50大型M&A。買収後5年で営業CFリターンが業界平均超え (中央値+2.8pp)。同業種・関連事業買収でより明確な改善。 |
| 440 | Fama-French 1992 Cross-Section of Expected Stock Returns | Eugene F. Fama, Kenneth R. French | 1992 | Journal of Finance 47(2): 427-465 |
https://doi.org/10.1111/j.1540-6261.1992.tb04398.x DOI: 10.1111/j.1540-6261.1992.tb04398.x |
B/M(PBR逆数)とサイズが横断的に株式リターンを説明。バリュー・プレミアム文献の基点 |
| 487 | Davidson-Worrell 1992 Product Recalls | Davidson, W. N. III; Worrell, D. L. | 1992 | Strategic Management Journal 13(6): 467-473 | Auto product recalls show -1.4% to -2.1% [-1,+1] CAR for issuing firm. | |
| 641 | Fama French 1992 SMB | Eugene F. Fama, Kenneth R. French | 1992 | Journal of Finance 47(2) |
https://doi.org/10.1111/j.1540-6261.1992.tb04398.x |
1963-1990米国でSMB (size factor) 年率+3-4%。マイクロキャップで増幅。 |
| 748 | Campbell Hamao Predictable Stock Returns US Japan | John Y. Campbell; Yasushi Hamao | 1992 | Journal of Finance |
https://dash.harvard.edu/entities/publication/73120378-8706-6bd4-e053-0100007fdf3b DOI: 10.1111/j.1540-6261.1992.tb03978.x |
Japan monthly excess returns have predictability from dividend-price ratio and interest-rate variables; global risk variables matter. |
| 144 | Hambrick-Fukutomi 1991 "The Seasons of a CEOs Tenure" | Donald Hambrick, Gregory Fukutomi | 1991 | Academy of Management Review 16(4) |
https://journals.aom.org/doi/10.5465/amr.1991.4279621 |
CEO在任は5期に分かれ、第3期 (在任6-10年) がパフォーマンスのピーク。10年超はマンネリ化・反応性低下で衰退。 |
| 153 | Dechow-Sloan 1991 "Executive Incentives and the Horizon Problem" | Patricia Dechow, Richard Sloan | 1991 | Journal of Accounting and Economics 14(1) |
https://www.sciencedirect.com/science/article/abs/pii/016541019190058S |
CEOが退任直前 (任期終盤) はR&D削減傾向、約-30%と短期業績優先のホライズン問題。長期投資の機会喪失。 |
| 191 | Brinson Singer Beebower 1991 Determinants of Portfolio Performance II | Gary Brinson, Brian Singer, Gilbert Beebower | 1991 | Financial Analysts Journal 47(3), 40-48 |
https://www.cfainstitute.org/-/media/documents/article/financial-analysts-journal/Determinants-of-Portfolio-Performance-II-An-Update.pdf |
Asset-allocation determines ~91.5% of return variability over time; security selection ~5% and timing ~2%. Sector/factor tilts (asset class proxy) dominate stock-picking for long-term returns. |
| 223 | Stickel 1991 | Stickel, S. | 1991 | The Accounting Review 66(2) |
https://www.jstor.org/stable/247800 |
Common Stock Returns Surrounding Earnings Forecast Revisions: More Puzzling Evidence. Upward revisions earn ~3% over 6 months post-revision; downward revisions equal/larger negative drift. |
| 268 | Ritter 1991 Long-Run Performance of IPOs | Jay R. Ritter | 1991 | Journal of Finance 46(1), 3-27 |
https://doi.org/10.1111/j.1540-6261.1991.tb03743.x |
Foundational paper on IPO long-run underperformance: 1,526 US IPOs 1975-84, 3y BHAR of -29% vs matched controls; underperformance concentrated among small, young, growth firms. |
| 479 | Stickel 1991 Earnings Forecast Revisions | Stickel, S. E. | 1991 | Accounting Review 66(2): 402-416 | Analyst forecast revisions trigger 0.5-1.5% same-day price reaction per 1% revision; sign-asymmetric. | |
| 14 | DeAngelo & DeAngelo 1990 | Harry DeAngelo & Linda DeAngelo | 1990 | Journal of Finance 45(5) |
https://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1990.tb05095.x DOI: 10.1111/j.1540-6261.1990.tb05095.x |
減配企業の80-85%が3年後も劣位。前ピーク復帰は20%未満。 |
| 403 | Bain & Company "The Economics of Loyalty" / Reichheld-Sasser 1990 "Zero Defections" | Reichheld, Frederick F.; Sasser, W. Earl Jr. | 1990 | Harvard Business Review, September-October 1990 |
https://hbr.org/1990/09/zero-defections-quality-comes-to-services |
Foundational study showing 5pp improvement in customer retention rate increases firm-level profits 25%-95% across nine industries. Anchors NPS / loyalty economics literature. |
| 221 | Bernard-Thomas 1989 | Bernard, V.; Thomas, J. | 1989 | Journal of Accounting Research 27 (Supplement) |
https://doi.org/10.2307/2491062 DOI: 10.2307/2491062 |
Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? Top SUE decile beats bottom by ~18% annualized over 60 trading days post-earnings. |
| 470 | Easton-Zmijewski 1989 ERC | Easton, P. D.; Zmijewski, M. E. | 1989 | Journal of Accounting and Economics 11(2-3): 117-141 | Cross-sectional variation in earnings response coefficients linked to growth, persistence, risk. | |
| 480 | Bernard-Thomas 1989 PEAD | Bernard, V. L.; Thomas, J. K. | 1989 | Journal of Accounting Research 27 Suppl: 1-36 | Top-decile SUE portfolio outperforms bottom by ~9% over 60 days post-announcement. Foundational PEAD finding. | |
| 628 | Lynch 1989 One Up On Wall Street | Peter Lynch with John Rothchild | 1989 | Simon & Schuster | Magellan基金13年間の運用実績(年率29%)から、テンバガー(10倍化)銘柄に共通する特徴をカテゴリー別(Stalwarts/Fast Growers/Turnarounds等)に整理。低機関保有・地味な業種・PEG<1・自社株買い等。 | |
| 662 | Peter Lynch 1989 "One Up On Wall Street" | Peter Lynch, John Rothchild | 1989 | Simon & Schuster | Magellan Fund 13年の年率29.2%の運用記録と銘柄選定の方法論。tenbagger発掘の枠組み。 | |
| 341 | Lieberman & Montgomery First-Mover Advantages | Marvin B. Lieberman, David B. Montgomery | 1988 | Strategic Management Journal 9 (S1): 41-58 |
https://www.anderson.ucla.edu/faculty/marvin.lieberman/publications/FMA1-SMJ1988.pdf |
Foundational paper identifying three first-mover advantages: technological leadership, preemption of scarce assets, switching-cost lock-in. |
| 435 | Campbell-Shiller 1988 Stock Prices Earnings Expected Dividends | John Y. Campbell, Robert J. Shiller | 1988 | Journal of Finance 43(3): 661-676 |
https://doi.org/10.1111/j.1540-6261.1988.tb04598.x DOI: 10.1111/j.1540-6261.1988.tb04598.x |
VAR分析で価格-配当比率の長期予測力を示した古典。低PE時はreal return高、高PE時は低 |
| 483 | Healy-Palepu 1988 Dividend Initiation Omission | Healy, P. M.; Palepu, K. G. | 1988 | Journal of Financial Economics 21(2): 149-175 | Dividend omissions trigger -9.5% [-1,+1] CAR; subsequent earnings indeed decline confirming signal content. | |
| 297 | Beatty-Ritter 1986 Investment Banking IPO | Randolph Beatty, Jay Ritter | 1986 | Journal of Financial Economics 15(1-2), 213-232 |
https://doi.org/10.1016/0304-405X(86)90055-3 |
Original underpricing model: greater ex-ante uncertainty -> larger first-day return. Foundation for empirical IPO literature. |
| 482 | Holthausen-Leftwich 1986 Bond Rating | Holthausen, R. W.; Leftwich, R. W. | 1986 | Journal of Financial Economics 17(1): 57-89 | Bond downgrades cause ~-2.7% [-1,+1] CAR; upgrades trigger insignificant reaction. Speculative-grade transitions strongest. | |
| 488 | Pruitt-Peterson 1986 Recalls | Pruitt, S. W.; Peterson, D. R. | 1986 | Journal of Financial Research 9(2): 113-122 | Mean -0.69% one-day CAR after recall; large/mandatory recalls -3% to -5%. | |
| 494 | Harris-Gurel 1986 Index Inclusion | Harris, L.; Gurel, E. | 1986 | Journal of Finance 41(4): 815-829 | S&P 500 inclusion: average +3.1% announcement-day price increase; partially reverses over weeks. | |
| 495 | Shleifer 1986 Demand Curves | Shleifer, A. | 1986 | Journal of Finance 41(3): 579-590 | S&P 500 inclusion permanent +2.8% price; supports downward-sloping demand curves for stocks. | |
| 506 | Asquith-Mullins 1986 Equity Issue | Asquith, P.; Mullins, D. W. | 1986 | Journal of Financial Economics 15(1-2): 61-89 | Seasoned equity offering announcement: -3% [-1,+1] CAR for industrial issuers. | |
| 709 | Palepu Predicting Takeover Targets 1986 | Krishna G. Palepu | 1986 | Journal of Accounting and Economics |
https://doi.org/10.1016/0165-4101(86)90008-X DOI: 10.1016/0165-4101(86)90008-X |
Takeover target prediction depends on firm characteristics; size and resource imbalance are important base-rate controls. |
| 209 | De Bondt-Thaler 1985 | De Bondt, W.; Thaler, R. | 1985 | Journal of Finance 40(3) |
https://doi.org/10.1111/j.1540-6261.1985.tb05004.x DOI: 10.1111/j.1540-6261.1985.tb05004.x |
Does the Stock Market Overreact? Long-term losers (prior 3-5y) outperform winners by ~25% over subsequent 36 months. Foundational long-term reversal evidence. |
| 241 | Kato-Schallheim 1985 | Kato, K.; Schallheim, J. | 1985 | Journal of Financial and Quantitative Analysis 20(2) |
https://doi.org/10.2307/2330954 DOI: 10.2307/2330954 |
Seasonal and Size Anomalies in the Japanese Stock Market. January + June effects in Japan 1952-1980; small-cap January return ~5-7%. |
| 467 | Brown-Warner 1985 Event Studies | Brown, S. J.; Warner, J. B. | 1985 | Journal of Financial Economics 14(1): 3-31 | Foundational paper establishing methodology for daily event studies. Shows market model abnormal returns are robust to many specifications. | |
| 302 | Myers-Majluf 1984 "Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have" | Stewart C. Myers; Nicholas S. Majluf | 1984 | Journal of Financial Economics 13(2): 187-221 |
https://doi.org/10.1016/0304-405X(84)90023-0 |
Pecking-order theory: information asymmetry -> firms prefer internal funds > debt > equity issuance. |
| 409 | Mandelker-Rhee 1984 "The Impact of the Degrees of Operating and Financial Leverage on Systematic Risk of Common Stock" | Mandelker, Gershon N.; Rhee, S. Ghon | 1984 | Journal of Financial and Quantitative Analysis, Vol. 19, No. 1, pp. 45-57 |
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/abs/impact-of-the-degrees-of-operating-and-financial-leverage-on-systematic-risk-of-common-stock/ DOI: 10.2307/2331000 |
Empirically links degree of operating leverage (DOL) and degree of financial leverage (DFL) to equity beta. Both DOL and DFL positively and significantly related to systematic risk: high-fixed-cost firms have higher betas. Anchors operating-leverage -> EPS-sensitivity -> drawdown chain. |
| 24 | Hambrick-Schecter 1983 | Donald Hambrick & Steven Schecter | 1983 | Academy of Management Journal 26(2) | 成熟業界の業績悪化局面: 約30%が3-5年で回復。 | |
| 16 | Bibeault 1982 | Donald Bibeault | 1982 | McGraw-Hill (book) | "Corporate Turnaround": 5年間の回復成功率38%。製造業はやや低め。 | |
| 320 | Christie 1982 "The Stochastic Behavior of Common Stock Variances" | Andrew A. Christie | 1982 | Journal of Financial Economics 10(4): 407-432 |
https://doi.org/10.1016/0304-405X(82)90018-6 |
Empirical confirmation: equity-vol elasticity to leverage ~0.3-0.5; mechanical leverage explains part but not all of the asymmetric vol pattern. |
| 33 | Banz 1981 | Rolf Banz | 1981 | Journal of Financial Economics 9(1) |
https://doi.org/10.1016/0304-405X(81)90018-0 DOI: 10.1016/0304-405X(81)90018-0 |
サイズプレミアム（小型株効果）の最初の実証。 |
| 193 | Banz 1981 Relationship between Return and Market Value of Common Stocks | Rolf Banz | 1981 | Journal of Financial Economics 9(1), 3-18 |
https://www.sciencedirect.com/science/article/abs/pii/0304405X81900180 |
Original size-effect paper. NYSE smallest decile earned ~19.8% annualised vs largest ~9.0% annualised 1936-1975. Excess return ~12.1% per year for smallest minus largest CRSP decile. |
| 714 | Ohlson bankruptcy prediction | James A. Ohlson | 1980 | Journal of Accounting Research 18(1) |
https://EconPapers.repec.org/RePEc:bla:joares:v:18:y:1980:i:1:p:109-131 DOI: 10.2307/2490395 |
Probabilistic bankruptcy prediction using accounting ratios including total liabilities to total assets and profitability. |
| 301 | Myers 1977 "Determinants of Corporate Borrowing" | Stewart C. Myers | 1977 | Journal of Financial Economics 5(2): 147-175 |
https://doi.org/10.1016/0304-405X(77)90015-0 |
Debt-overhang / under-investment: existing debt makes shareholders refuse positive-NPV projects whose value mostly accrues to creditors. |
| 574 | Fama Schwert 1977 Asset Returns and Inflation | Eugene F. Fama; G. William Schwert | 1977 | Journal of Financial Economics 5(2) 115-146 |
https://doi.org/10.1016/0304-405X(77)90014-9 |
Foundational paper showing US equity returns negatively correlated with expected and unexpected inflation in 1953-71. |
| 15 | Schendel-Patton-Riggs 1976 | Dan Schendel, G.R. Patton, James Riggs | 1976 | Journal of General Management | 54社サンプル: 28%のみ持続的回復。古典的ターンアラウンド研究。 | |
| 319 | Black 1976 "Studies of Stock Price Volatility Changes" | Fischer Black | 1976 | Proceedings of the 1976 Meetings of the American Statistical Association, Business and Economics Statistics Section | Original "leverage effect": equity vol rises as stock price falls because D/E rises mechanically. | |
| 410 | Lev 1974 "On the Association Between Operating Leverage and Risk" | Lev, Baruch | 1974 | Journal of Financial and Quantitative Analysis, Vol. 9, No. 4, pp. 627-641 |
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/abs/on-the-association-between-operating-leverage-and-risk/ DOI: 10.2307/2329764 |
Original study demonstrating positive cross-sectional relation between operating leverage (fixed-cost intensity) and systematic risk in three industries (electric utilities, steel, oil). Foundational reference for operating-leverage research. |
| 627 | Phelps 1972 100 to 1 | Thomas William Phelps | 1972 | 100 to 1 in the Stock Market (Bookcell Books) |
https://en.wikipedia.org/wiki/Thomas_William_Phelps |
1932-1971年で100倍化した米国上場365銘柄を抽出。長期保有・反復可能なビジネスモデル・大きなTAMを共通項として提示。 |
| 661 | Tom Phelps 1972 "100 to 1 in the Stock Market" | Thomas William Phelps | 1972 | McGraw-Hill | 1932-1971年に米国株式で100倍以上のリターンを記録した銘柄を分析。長期コンパウンダー研究の古典。365銘柄のうちの上位事例。 | |
| 21 | Altman Z-Score | Edward Altman | 1968 | Journal of Finance 23(4) |
https://doi.org/10.1111/j.1540-6261.1968.tb00843.x DOI: 10.1111/j.1540-6261.1968.tb00843.x |
Z-Score 1.81未満の企業は2年内倒産確率が顕著に上昇。 |
| 474 | Ball-Brown 1968 Earnings Information | Ball, R.; Brown, P. | 1968 | Journal of Accounting Research 6(2): 159-178 | First event study; 50% of new earnings information impounded in price by announcement. | |
| 256 | Stigler 1963 "Capital and Rates of Return" | George J. Stigler | 1963 | NBER General Series #78, Princeton University Press |
https://www.nber.org/books/stig63-1 |
US manufacturing 1938-1956. Found persistent profit rate dispersion (CV 21.9% in 1938-47, 31.5% in 1947-56) contradicting strict competitive mean reversion. |
| 300 | Modigliani-Miller 1963 "Corporate Income Taxes and the Cost of Capital: A Correction" | Franco Modigliani; Merton H. Miller | 1963 | American Economic Review 53(3): 433-443 |
https://www.jstor.org/stable/1809167 |
With corporate taxes, debt creates a tax shield -> firm value rises with leverage. Theoretical foundation for trade-off theory. |
| 299 | Modigliani-Miller 1958 "The Cost of Capital, Corporation Finance and the Theory of Investment" | Franco Modigliani; Merton H. Miller | 1958 | American Economic Review 48(3): 261-297 |
https://www.jstor.org/stable/1809766 |
M&M Proposition I/II: under perfect capital markets, firm value is independent of capital structure; CoE rises linearly with D/E offsetting cheaper debt. |
| 654 | Fisher 1958 Common Stocks | Philip A. Fisher | 1958 | Common Stocks and Uncommon Profits (Wiley) | 15ポイント・チェックリスト(成長余地/R&D/営業組織/利益率/経営姿勢等)を満たす銘柄が長期大化け。 | |
| 727 | Damodaran Valuing commodity and cyclical companies | Aswath Damodaran | NYU Stern valuation paper |
https://pages.stern.nyu.edu/~adamodar/pdfiles/papers/commodity.pdf |
Use normalized earnings/cash flows for commodity and cyclical firms. Methods include average earnings over a full cycle, normalized margins on current revenues, and sector cycle averages. | |
| 730 | McKinsey Through-cycle investment in mining | McKinsey & Company | McKinsey Metals & Mining |
https://www.mckinsey.com/industries/metals-and-mining/our-insights/through-cycle-investment-in-mining |
Mining market capitalizations and capital expenditure are strongly correlated with commodity prices; valuation should normalize through commodity cycles. | |
| 731 | IATA Value Chain Profitability | International Air Transport Association | IATA Economics |
https://www.iata.org/en/iata-repository/publications/economic-reports/value-chain-profitability/ |
Airline ROIC has historically been low and cyclical, with upturn and downturn profitability often below estimated WACC. | |
| 743 | Research Affiliates Value Premium Mean-Reverting | Research Affiliates | Research Affiliates article |
https://www.researchaffiliates.com/insights/publications/articles/7-the-value-premium-is-mean-reverting |
Extreme value/growth valuation spreads have preceded large value rebounds, but timing is noisy and episode-dependent. | |
| 746 | Damodaran PE Ratio Determinants | Aswath Damodaran | NYU Stern valuation material |
https://pages.stern.nyu.edu/~adamodar/New_Home_Page/invfables/peratio.htm |
P/E depends on growth, payout, risk/cost of equity, and interest-rate environment; multiple compression is usually repricing of these variables. | |
| 747 | Mauboussin Callahan Valuation Multiples | Michael Mauboussin; Dan Callahan | Morgan Stanley Counterpoint Global Insights |
https://www.morganstanley.com/im/publication/insights/articles/article_valuationmultiples.pdf |
Valuation multiples compress ROIC, growth, risk, accounting, capital structure, and intangibles; simple high/low multiple signals require context. |